Varieties of zinc and Zn−Co alloy compositionally modulated multilayer (CMM) coatings were electrodeposited onto steel substrates using dual bath technique. The surface and cross-sectional morphologies of coated samples were examined using scanning electron microscopy (SEM). The existence of internal stress in Zn−Co alloy deposits was confirmed by the cross-sectional morphologies for the occurrence of micro-cracks in the thick Zn−Co alloy deposit alone. The corrosion performance was evaluated using neutral salt spray testing, corrosion potential measurement and anodic polarization methods. The experimental results show that the zinc and Zn−Co alloy CMM coatings were more corrosion-resistant than the monolithic coatings of zinc or Zn−Co alloy alone with a similar thickness. The analysis on the micrographic features of zinc and Zn−Co alloy CMM coating, using field emission gun scanning electron microscopy (FEGSEM) after corrosion testing, explains the probable reasons why the Zn−Co/Zn CMM coating system has a better protective performance.