A nanolaminate consisting of alternate layers of aluminium oxide ($Al_2O_3$) (5 nm) and zirconium oxide ($ZrO_2$) (20 nm) was deposited at an optimized oxygen partial pressure of $3{ imes}10^{-2}$ mbar by pulsed laser deposition. The nanolaminate film was analysed using high temperature X-ray diffraction (HTXRD) to study phase transition and thermal expansion behaviour. The surface morphology was investigated using field emission scanning electron microscopy (FE-SEM). High temperature X-ray diffraction indicated the crystallization temperature of tetragonal zirconia in the $Al_2O_3/ZrO_2$ multilayer-film was 873 K. The mean linear thermal expansion coefficient of tetragonal $ZrO_2$ was $4.7{ imes}10^{-6};K^{-1}$ along a axis, while it was $13.68{ imes}10^{-6};K{-1}$ along c axis in the temperature range 873-1373 K. The alumina was in amorphous nature. The FESEM studies showed the formation of uniform crystallites of zirconia with dense surface.