Free volume gradient was introduced using intermittent magnetron sputtering processes to fabricate two different series of CuZr/CuZr metallic glass multilayers, forming heterogeneous atomic structure in glass/glass interfaces. Multilayers in series 1 have identical bi-layer thickness but different modulation ratios, while those in series 2 have the modulation ratio of 1/1 but different bi-layer thicknesses. Nanoindentation was subsequently carried out to evaluate the shear banding deformation of the fabricated multilayers. Despite that all the multilayers were only consisted of a single monophase (i.e., CuZr metallic glass), their shear banding deformation behaviors were dependent upon both the modulation ratio and bi-layer thickness. Upon annealing treatment, such dependence nearly vanished in both series of the multilayers. It was proposed that free volume gradient plays a crucial role in the observed unusual shear banding deformation behaviors. Specifically, asymmetric and symmetric free volume gradients in series 1 and 2, respectively, induce different stress states in glass/glass interfacial regions, which may alter the initiation and propagation processes of shear bands in CuZr/CuZr multilayers.