An approach to enhance the performance of protective hard coatings for cutting applications is to modify the coating architecture by combining two inherently different materials in a multilayer. Besides the choice of the materials, the thickness of the individual layers strongly influences the coating microstructure and consequently also its properties. Within this work, a graded ZrN/Ti _0.33Al _0.67N multilayer coating with constant Ti _0.33Al _0.67N and stepwise increasing ZrN layer thickness was investigated in detail by a combinatorial approach of cross-sectional X-ray nanodiffraction, electron backscatter diffraction and transmission electron microscopy. The primary aim was to obtain a profound understanding of the microstructure of the coating as well as of the residual stress state. (Semi-)coherent grain growth was observed independently of the ZrN layer thickness. Changes in the multilayer architecture were found to affect not only the grain size, but also the residual stress state of the coating. While the grain size increased with increasing ZrN layer thickness, the residual stress decreased. This work contributes to a deeper understanding of the influence of the multilayer architecture on the microstructure and stress state of heteroepitactic multilayer coatings.