The alternately-organized poly(vinylidene fluoride) (PVDF)/poly(methyl methacrylate) (PMMA) multilayer materials were prepared through layer-multiplying coextrusion. With the multiplication of layers, the thickness of each layer was reduced in proportion and the layer interfaces were enriched generating a broader and more continuous thermal transition temperature (T-trans) from PVDF to PMMA layers as mapped by in-situ thermal analysis. The low-T-trans side originated from the glass transition of PMMA, whereas the high-T-trans side was dominated by the melting of PVDF crystals based on the heating curves of DMA and DSC. The dielectric spectroscopy and 2D-SAXS were performed and demonstrated that the compositional diffusion not only broadened the relaxation distribution of amorphous chains, but also strengthened the interaction between amorphous and crystalline domains. Therefore, a unique multilayer network, where the crystals in PVDF layers acting as physical networks connected the neighboring amorphous layers, was fabricated and its potential application in obtaining multi-shape memory effect (MSME) was disclosed for the first time. The results exhibited that the 1024-layer specimen owned a better triple-and quadruple-shape memory capacity than conventional blend which possessed the same compositions and a similar T-trans range. The latter one even failed to successively memorize more than two temporary shapes. A possible mechanism was proposed through polarized IR and creeping-recovery measurements. Higher phase continuity which benefited for the stress transfer was revealed to play a significant role in strengthening the shape-fixing and -recovering ability during each shape-memory progress. Accordingly, a new physically-compounding strategy was addressed to achieve outstanding MSME for meeting complex demands in smart applications.