Optical waveguide is used to guide the transmission of light. This paper reviews multilayer optical waveguide and some devices based on it. The optical waveguide can be divided into single-layer and multilayer optical waveguides in general. Here, multilayer cylindrical waveguide and multilayer planar waveguides were mainly focused. The analyzing method and the structures of waveguides were also demonstrated in briefly. Both these multilayer optical waveguide used in different kinds of optical devices including optical modulator, laser, optical amplifier, optical switch and special fiber were further presented. At last, the principle and structure of these multilayer optical devices were compared.