As a fourth fundamental two‐terminal circuit element, memristors have received great research interest as resistive random access memory (RRAM). Herein, a new memristor structure based on TiOx/HfOx or AlOx/HfOx multilayers with gradually varied thickness as the switching material is fabricated. The devices show forming‐free, self‐compliance, reliable multilevel resistive switching, and low switching voltage properties, and are promising for applications in future advanced integrated circuits.