In this paper, ZrN/TaN nano-multilayers are fabricated in mixing atmosphere by radio frequency magnetron sputtering. The phase structures, He-related defects, helium content and cross-section morphologies of ZrN/TaN nano-multilayers are characterized by X-ray diffraction, slow positron beam analysis, enhanced proton backscattering spectrome and scanning electron microscope, respectively. The results show that the interface of ZrN/TaN nano-multilayer with 30 nm modulation period is stable and could resist the damage of helium even annealed at 600℃. The He retention rate of ZrN/TaN nano-multilayer with 30 nm modulation period can reach up to 45.6%.