The microstructural design of matrices for all-oxide ceramic matrix composites (Ox/Ox) with damage tolerant fracture behavior is challenging. Therefore, the potential use of different matrix materials might be limited even though they appear to offer advantageous functional properties, such as thermal insulation or corrosion resistance. In this study, we investigated the hypothesis of simultaneously adjusting mechanical and functional properties by separate matrix phases within and between the fiber bundles in Ox/Ox. A sequential infiltration process was used to manufacture Ox/Ox with an alumina-zirconia matrix phase (high damage tolerance) and a mullite-alumina matrix phase (thermal insulation). The effect on the mechanical and thermal properties was governed by the infiltration sequences. A property combination was achieved for either the mechanical or the thermal behavior. This was due to a shear-induced mixing of the matrix phases during the lamination process, which renders it difficult to achieve distinctly separated matrix phases within the composite.