A novel multi-layered nanocomposite film, abridged as ZrO₂/GO (zirconia/graphene oxide), was constructed by a simple layer-by-layer (LBL) self-assembly process. It is expected that the key factor for constructing such a film is the high surface activity of GO nanosheets with various oxygen-containing groups, which ensures the strong bonding with substrate and facilitates the deposition of ZrO₂ thin film. The as-constructed film after fifteen cycle deposition with a thickness of 170–260 nm shows outstanding tribological performances (with the friction coefficient of 0.13–0.17 and anti-wear life of longer than 6000 s) and mechanical property (with a hardness of 12.74 GPa) even without annealing. These outstanding properties are probably ascribed to the multi-layered nanostructures and the synergistic effect of the excellent tribological/mechanical properties of GO nanosheets as well as ZrO₂ nanoparticles. Furthermore, after being annealed at 500 ℃ or 900 ℃, the film still presents lower friction coefficient (0.11–0.14) with the same test conditions. It is expected that this ZrO₂/GO multilayered nanocomposite film can be widely used as protecting or/and lubricating coating for micro- and nano-electromechanical systems (MEMS/NEMS) not only for its excellent tribological/mechanical properties but also for its simplicity and feasibility of such a construction process.