The multilayer composite films consisting of multi-armed CdS nanorods and ZnO were fabricated by spin coating and pulsed laser deposition on fused quartz substrates. The nonlinear optical properties such as nonlinear refraction and absorption were determined using closed- and open-aperture Z-scan method with 532nm picosecond and 800nm femtosecond laser pulses, respectively. The nonlinear optical response time was studied by a time resolved Kerr-gate technique at 800nm, showing an instantaneous process. The large optical nonlinearity with ultrafast response of the composite films indicated their potential applications for future nonlinear optical devices.