A linear zone plate named multilayer laue lens (MLL) is fabricated using a depth-graded multilayer structure. The lens shows considerable potential in focusing an X-ray beam into a nanometer scale with high efficiency. In this letter, a depth-graded multilayer consisting of 324 alternating WSi2 and Si layers with a total thickness of 7.9 \mu m is deposited based on the thickness sequence according to the demands of the zone plate law. Subsequently, the multilayer sample is sliced and thinned to an ideal depth along the cross-section direction using raw abrasives and diamond lapping. Finally, the cross-section is polished by a chemical mechanical polishing (CMP) technique to remove the damages and improve the surface smoothness. The final depth of the MLL is approximately 7 μm with an achieved aspect ratio greater than 400. Results of scanning electron microscopy (SEM) and atomic force microscopy (AFM) indicate that interfaces are sharp, and the multilayer structure remains undamaged after the thinning and polishing processes. The surface roughness achieved is 0.33 nm.