The low laser-induced damage threshold (LIDT) of HfO2/SiO2 films is an important factor in limiting the further development of high repetition rate femtosecond (fs) laser systems. Conventional whole-layer annealing can effectively improve the properties of SiO2 films, but it is difficult to improve the properties of HfO2 films located in the intermediate layer and is also prone to introduce contaminants. In this study, an innovative magnetron sputtering-vacuum tube furnace combined system was presented to deposit and anneal the HfO2/SiO2 films without contaminant. The layer-by-layer annealing optimizes the stoichiometric ratio, stress, and surface morphology of HfO2/SiO2 films. The fs laser damage test at a high repetition rate indicated that the LIDT of the layer-by-layer annealed films reached 1.15 J/cm2 and 1.99 J/cm2 at 515 nm and 1030 nm, which were about 28% and 25% higher than those of the un-annealed films, respectively. This work provides a way to effectively avoid the contaminant introduction during annealing and improve the damage threshold of bilayer films by layer-by-layer annealing in the magnetron sputtering-vacuum tube furnace combined system.