Ternary nitride alloys based on wurtzite AlN are a promising platform to realize functional materials, particularly ferroelectrics and optical emitters, that can smoothly integrate with conventional microelectronics. Here, a strategic design is presented to enable multifunctional materials by substituting multiple elements into AlN to create quaternary nitride alloys. By combining computational predictions and combinatorial thin film synthesis, the phase diagram of these quaternary Al-Sc-Gd-N alloys (or pseudo-ternary heterostructural AlN-ScN-GdN alloys) is successfully predicted as a function of effective temperature, and we experimentally grow Al 1 - x - y Sc x Gd y N ${\rm Al}_{1-x-y}{\rm Sc}_x{\rm Gd}_y{\rm N}$ thin films for the first time. It is revealed that Al 1 - x - y Sc x Gd y N ${\rm Al}_{1-x-y}{\rm Sc}_x{\rm Gd}_y{\rm N}$ crystallizes in a wurtzite-derived structure for x + y ≲ 0.35 $x+y \lesssim 0.35$ , consistent with the calculated phase diagram. The computational investigation explores whether co-substitution induces cooperative effects on these alloys' piezoelectric and ferroelectric properties, finding that it is beneficial for reducing the polarization switching barrier. We calculate that Al 1 - x - y Sc x Gd y N ${\rm Al}_{1-x-y}{\rm Sc}_x{\rm Gd}_y{\rm N}$ thin films should display ferroelectric switching. This is supported by our experimental measurements of a high optical bandgap, enhanced piezoelectric coefficient, and a change in the calculated polarization switching mechanism, and we achieve preliminary ferroelectric switching that experimentally realizes the prediction. Overall, our work sets the foundation toward quaternary wurtzite-nitride-based multifunctional materials, including piezoelectrics, ferroelectrics, and possibly even multiferroics.