Compared to colloidal quantum dots, nanostructured multilayer films may also be a promising emission layer in future light-emitting diodes, due to their excellent photoluminescence (PL), narrow full width at half-maximum (FWHM), and wide color gamut. In this paper, multilayer-structured deep-blue light-emitting diodes (LEDs) were prepared, where nanostructured ZnSe/ZnS multilayer films act as the light-emitting layer. The device showed good blue electroluminescence (EL) spectrum locating at 448 nm with an FWHM of 31 nm. To improve the performance of the device, the effect of preparation parameters of different layers was investigated in detail. The results demonstrated that the preparation parameters of each layer affected the performance in different ways, and choosing the most suitable preparation parameters can achieve optimal performance. Furthermore, this multilayer-structured device based on nanostructured films as emission layer can also be applied in green and red LEDs or all-inorganic QLEDs.