Recently, we demonstrated unprecedented sub-5 nm point focusing of hard X-rays (at 7.9 keV) based on the combination of a high gain Kirkpatrick–Baez (KB) mirror system and a high resolution W/Si multilayer zone plate (MZP). This MZP was prepared by the combination of pulsed laser deposition (PLD) and focused ion beam (FIB). Despite the small focus size, the MZP's quality suffered from sufficient but comparatively low efficiency (2%). In this paper we discuss how to overcome limitations of MZP fabrication by PLD by investigating the material systems W/Si, W/ZrO₂, and Ta₂O₅/ZrO₂. We give a detailed description on the optimization processes for the deposition of smooth multilayers with highly precise layer thicknesses on a rotating wire. Furthermore, we present our latest results regarding a Ta₂O₅/ZrO₂ MZP, which has been proven already to be a system of high potential in the very first experiments as the efficiency reached 6.9% (at 18 keV).