We report the utilization of the optical Kerr effect in multilayer dielectric coatings, previously discussed only theoretically. We present the design and realization of multilayer dielectric optical structures with layer-specific Kerr nonlinearities, which permit tailoring of the intensity-dependent effects. The modulation depth in reflectance reaches up to 6% for the demonstrated examples of dielectric nonlinear multilayer coatings. We show that the nonlinearity is based on the optical Kerr effect, with the recovery time faster than the laser pulse envelope of 1 ps. Due to high flexibility in design, the reported dielectric nonlinear multilayer coatings have the potential to open hitherto unprecedented possibilities in nonlinear optics and ultrafast laser applications.