Well without defining the mechanical property of interest or the materials, it is nearly certain they will give different properties. The co-deposition will be comprised of the two materials, which may then form into binary or ternary alloy material depending on deposition technique and process conditions. Such that, the resulting material will be a composite of each of material formed, the phase of the materials, and based on percent of composition of each.
If 2 materials are deposited sequentially in layers (multilayer), you will have two separate materials with their own material properties which may or may not work well together, depending on the materials. The number of layers, layer thickness, and deposition rates will also influence the results.
Stress, grain size, surface roughness, thickness, etc, will all be impacted by the deposition conditions in both techniques and also affect mechanical properties.
No straight answer here for the given set of boundary conditions.