As one of typical stimulus-sensitive shape memory polymers (SMPs), thermal induced SMPs (TSMPs) have been found wide applications in smart fabrics, intelligent packaging, biomedical devices, sensors and actuators. In this work, a kind of TSMPs containing alternating layers of thermoplastic polyurethane (TPU) and polycaprolactone (PCL) were fabricated through layer-assembly extrusion technology. The multilayer structure with stable and well-defined continuous layer spaces was controlled by changing the number of layers. Compared with conventional TPU/PCL blends, the multilayer system with the same compositions demonstrated better shape memory performances. Each component in the multilayer structure was considered to be capable of endowing the maximum contribution to both of the shape fixing (Rf) and recovery ratios (Rr). With increasing the number of layers, higher Rf and Rr were achieved, which could be ascribed to the interfacial shearing effect occurring between TPU and PCL layers based on a viscoelastic model. Furthermore, when neat PCL layers were replaced by TPU/PCL blend with co-continuous morphology, the Rf only reduced from 97.2 to 96.0%, but Rr had a distinct increase from 87.9 to 92.9%. This revealed that the combination of co-continuous morphology and multilayer-assembly structure would be benefit for achieving outstanding shape memory performances.