Polymer-infiltrated nanoparticle films (PINFs) that have high volume fractions (>50 vol%) of nanoparticles (NPs) possess enhanced properties making them ideal for various applications. Capillary rise infiltration (CaRI) of polymer and solvent-driven infiltration of polymer (SIP) into pre-assembled NP films have emerged as versatile approaches to fabricate PINFs. Although these methods are ideal for fabricating PINFs with homogenous structure, several applications including separations, and photonic/optical coatings would benefit from a method that enables scalable manufacturing of heterostructured (i.e., films with variation in structural properties such as porosity, composition, refractive indices, etc.) PINFs. In this work, a new technique is developed for fabricating heterostructured PINFs with cavities based on CaRI. A bilayer composed of densely packed inorganic NP layer atop polymer NP layer is thermally annealed above the glass transition temperature of the polymer NP, which induces CaRI of the polymer into the interstices of the inorganic NP layer. Exploiting the difference in the sizes of the two particles, heterostructured double stack PINFs composed of a PINF and a layer with large cavities are produced at a moderate temperature (<200 degrees C). Using these heterostructured PINFs, Bragg reflectors that can detect the presence of wetting agents in water are fabricated.