This letter reports on the growth, structure, and luminescent properties of individual multiple quantum well (MQW) AlGaAs nanowires (NWs). The composition modulations (MQWs) are obtained by alternating the elemental flux of Al and Ga during the molecular beam epitaxy growth of the AlGaAs wire on GaAs (111)B substrates. Transmission electron microscopy and energy dispersive X-ray spectroscopy performed on individual NWs are consistent with a configuration composed of conical segments stacked along the NW axis. Microphotoluminescence measurements and confocal microscopy showed enhanced light emission from the MQW NWs as compared to nonsegmented NWs due to carrier confinement and sidewall passivation.