The influence of thermal annealing on the surface and interface roughness of epitaxial Ag/Pd superlattices has been quantitatively characterized by high-angle X-ray diffraction and atomic force microscopy. Although Ag and Pd form a continuous series of solid solutions, it is shown that thermal annealing of the layered structure does not lead to complete interdiffusion, but rather to a clustering of the individual components. The bulk phase diagram of materials is clearly not the only factor determining the structural properties of thin layers in superlattices.