The laminated Al2O3–ZrB2–MgO/Al2O3–TiN–MgO (AZTM) ceramic composites were fabricated by hot-press sintering technology. The mechanical properties, microstructures and fracture behaviors of the laminated AZTM ceramic composites, were investigated comprehensively from the micro and macro scale perspectives. The residual stresses, R-curve behaviors and displacement in the laminated AZTM ceramic composites were calculated and analyzed. Compared to the monolithic Al2O3–TiN ceramic composite, the remarkable improvement in the fracture toughness of the laminated AZTM ceramic composite was obtained. Micro and macro crack deflection, crack bifurcation, bridging toughening and serrated propagation were helpful to the enhancement of the fracture toughness. An intracrystalline/intergranular mixed microstructure, as well as the combination of intergranular failure and transgranular failure contributed to the improvement of the flexural strength for the laminated AZTM ceramic composite.