Co/Ni multilayers with Pt and MgO/Pt underlayer have been grown by means of magnetron sputtering and the perpendicular magnetic anisotropy (PMA) of the samples is studied using anomalous Hall effect (AHE). The Co/Ni multilayer has to be thermally stable to stabilize the PMA, which is studied by annealing treatment. In early researches of Co/Ni multilayes, the optimum sample with Pt underlayer was obtained as Pt(2 nm)/Co(0.2 nm)/Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm) with PMA in good performance. Thermal stability of the sample is studied in this paper by the Hall loop measurement of it after annealing. Results show that the remanence ratio and rectangular degree of the sample are kept well and the Hall resistance (RHall) has little change at the annealing temperature of 100 ℃. As the annealing temperature rising above 100 ℃, the PMA of Pt(2 nm)/Co(0.2 nm)/Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm) becomes weakened. Its coercivity (Hc) decreases rapidly and RHall reduces greatly. So the thermal stability of Pt(2 nm)/Co(0.2 nm)/Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm) will be poor and the PMA cannot be enhanced by annealing treatment. A series of samples with MgO/Pt underlayer are prepared with the thickness of Pt being fixed at 2 nm and that of MgO ranging from 1 to 5 nm. Thus the interface between amorphous insulation layer and metal layer is added to be used to enhance the PMA of the sample for the strong electron additive scattering. Magnetization reversal can be very rapid and the rectangular degree is kept very well, and furthermore, the remanence ratio of the samples can reach 100% so they all show good PMA.The Hc increases with increasing MgO underlayer and reaches the maximum value as the MgO thickness arrives at 4 nm, and the Hc of the sample MgO(4 nm)/Pt(2 nm)/Co(0.2 nm)/Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm) is 2.3 times that of Pt(2 nm)/Co(0.2 nm)/Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm), the RHall is up to 9% correspondingly. The roughnesses of Pt(2 nm)/Co(0.2 nm)/ Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm) and MgO(4 nm)/Pt(2 nm)/Co(0.2 nm) /Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm) are 0.192 nm and 0.115 nm respectively, as tested by AFM. Result shows that the roughness of the Co/Ni multilayer is greatly reduced so the PMA of the Co/Ni multilayer is enhanced remarkably after the addition of 4 nm MgO. The thermal stability of MgO(4 nm)/Pt(2 nm)/Co(0.2 nm)/Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm) is also studied. When the annealing temperature rises up to 200 ℃, the Hc reaches its maximum value i.e. 1.5 times that of the sample without MgO, and it is 3.5 times that of the sample with Pt underlayer only. This sample also show good thermal stability. Higher temperatures will result in intermixing of Co and Ni and diminish the PMA. After annealing at 400 ℃, the easy axis of the sample becomes in-plane. The anisotropy constant Keff of MgO(4 nm)/Pt(2 nm)/Co(0.2 nm)/Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm) is 8.2106 erg/cm3, and it has an increase of 15% in Pt(2 nm)/Co(0.2 nm)/ Ni(0.4 nm)/Co(0.2 nm)/Pt(2 nm), which shows that the sample has an excellent PMA.