Clay-based nanostructured multilayers, such as clay-polymer multilayers and clay-oxide multilayers, have attracted growing attention owing to their remarkable mechanical properties and promising application in various fields. In this paper, synthesis of a new kind of nanostructured clay-oxide multilayers by layer-by-layer self-assembly was explored. Nano-mechanical characterization of 18 clay-based multilayer samples, prepared under as-deposited (i.e., air-dried) and annealing conditions at 400 °C/600 °C with different precursor cations and multilayer structure, were carried out using nanoindentation testing, atomic force microscopy (AFM), and X-ray diffraction (XRD). The influencing factors, including as-deposited and annealing conditions and clay concentrations on the mechanical properties were analyzed. Results show that all of the multilayers exhibit high bonding strength between interlayers. Higher modulus and hardness of clay-based multilayers were obtained with lower clay concentrations than that with higher clay concentrations. Different relationships between the modulus and hardness and the annealing temperature exist for a specific type of clay-oxide multilayer. This work offers the basic and essential knowledge on design of clay-based nanostructured multilayers by layer-by-layer self-assembly.