Multilayer coated gratings have excellent diffraction performance and can be an important dispersion optical element in synchrotron radiation soft X-ray band. In order to measure the diffraction efficiency of multilayer coated gratings, a miniaturized device for measuring diffraction efficiency of the grating was designed and installed in Shanghai Synchrotron Radiation Facility. The diffraction efficiency of the grating can be detected quickly in the existing spectroscopic microscopic experimental chamber. In the photon energy range of 480--730 eV, the zero-order diffraction efficiency peak of the multilayer grating is 1.11%, while the 1st order diffraction efficiency peak is 0.52%. The factors affecting the diffraction efficiency of multilayer coated gratings were analyzed. The diffraction efficiency of multilayer coated gratings was calculated numerically by differential theory, proving the rationality of the experimental scheme. The diffraction efficiency measurement and simulations will contribute to the preparation and application of multilayer coated gratings.