Atomic layer deposition is adopted to fabricate HfO2/Al2O3 multilayer thin films to study the sub-layer-thickness-dependent thermal stability. The nano-laminated structure with too thin sub-layer might degrade into a nano-composite configuration. Upon thermal annealing, the HfO2 sub-layers in the laminated configuration crystallize into the monoclinic phase without expanding into the neighboring Al2O3 sub-layers, while the crystallization occurs across the Al2O3 sub-layers in the nano-composite configuration. The thermal stability is enhanced with decreasing thickness of the HfO2 sub-layer and is essentially structure dependent, which can be regulated by the stacking numbers and the stacking sequence per supercycle. Doped Al could induce the phase transition from the monoclinic to the tetragonal phase. In thermodynamics, a thicker HfO2 sub-layer is more likely to initiate the crystallization owing to more bulk Gibbs free energy contributed to the total energy. However, the lost energy in the bond-breaking process impedes the crystallization, resulting in the enhanced thermal stability. The dielectric constant is significantly enhanced owing to the phase transformation from the monoclinic to the tetragonal phase. The leakage current density of the post-annealed nano-composite structure films is 3 x 10(-6) A/cm(2) at bias of -2 V, which is much lower than in other structures.