The recent progress in the development of nanostructured composites is described for Zr-base multicomponent alloys as a typical example for such materials. These advanced composite materials are attractive candidates for structural as well as functional applications. The combination of high I strength with high elastic strain of fully nanocrystalline and glassy alloys renders them quite unique in comparison to conventional (micro-)crystalline materials. However, one major drawback for their use in engineering applications is the often limited macroscopic plastic deformability, despite the fact that some of these alloys show perfectly elastic-plastic deformation behavior. To improve the room temperature ductility of either fully nanocrystalline or amorphous alloys, the concept of developing a heterogeneous microstructure combining a glassy or nanostructured matrix with second-phase particles with a different length-scale, has recently been employed. This review describes the composition dependent metastable phase formation in the Zr-(Ti/Nb)-Cu-Ni-Al alloy system, which in turn alters the mechanical properties of the alloys, We emphasize the possibilities to manipulate such composite microstructures in favor of either strength or ductility, or a combination of both, and also discuss the acquired ability to synthesize such in-situ high-strength composite microstructures in bulk form through inexpensive processing routes.