The deposition of compositionally modulated (Bi1-xSbx)2(Te1-ySey)3 thermoelectric multilayer films by magnetron sputtering has been demonstrated. Structures with a period of 140 A are shown to be stable to interdiffusion at the high deposition temperatures necessary for growth of single-layer crystalline films with ZT>0.5. These multilayers are of the correct dimension to exhibit the electronic properties of quantum well structures. Furthermore it is shown that the Seebeck coefficient of the films is not degraded by the presense of this multilayer structure. It may be possible to synthesize a multilayer thermoelectric material with enhanced ZT by maximizing the barrier height through optimization of the composition of the barrier.