A novel topology optimization method for the design of coated structures infilled with multiple materials is proposed in this paper, where a novel material interpolation model for the topology description is developed based on the ordered SIMP scheme. With the introduction of two special Heaviside projections into the two-step filtering and projection procedure, the external coating and the substrate region can be well identified by using several modified design variables. Then, the material distribution of the multi-material infilling is obtained by multiplying the infill identification field with the piece-wisely projected design variables and optimized via the mathematical programming algorithm under the ordered SIMP framework. Using an eroded density field and its original field, the uniform thickness of the external coating can be well controlled. The proposed approach for optimizing coated structures with multi-phase infill materials is easy to implement due to its implementation relying on those frequently-used filtering and projection operations. Besides, without introducing any additional design variables, the method developed in this paper inherits the advantages of the ordered SIMP method and has great calculation efficiency and stable iteration performance. With the consideration of several issues such as different coating thicknesses and different design parameters, several 2D numerical examples are studied to demonstrate the effectiveness of the proposed approach, as well as a 3D example. The optimization results illustrate that the method developed in this paper is effective for the design of coated structures infilled with multiple materials and the advantages of considering multiple infill materials is also validated.