This paper reports the first effort to synthesize a new class of inorganic nanostructured materials consisting of alternating ultrathin layers of nanoclays and oxide ceramics. A novel solution-based layer-by-layer (LBL) deposition technique was developed to prepare multilayers of hydrated Zr cations and nanoclays. This LBL deposition technique is devised by integrating an electrostatic-mediated dip coating method for making nanoclay-polymer multilayers with a successive ionic layer adsorption and reaction method for making ultrathin oxide films. Nanostructured clay-zirconia multilayer composites formed through subsequent annealing. Characterization by scanning electron microscopy, energy dispersive X-ray spectroscopy, and X-ray diffraction confirmed that these films are uniform and crack-free, consist of no detectable impurities, and possess nanoscale-layered structure. The incorporation of nanoclays facilitates the electrostatic-mediated assembling of multilayers, enhances the structural integrity, and provides a generic framework to construct functionally graded materials. Potential applications are envisaged.