Methods of constructing composite films including particles embedded in a filler matrix involve preparing a collection of stacked particles, then depositing a matrix material throughout the particle collection using an atomic layer deposition (ALD) method so as to substantially completely fill the spaces between the particles with the matrix material. During matrix deposition, a vapor phase etch cycle may be periodically employed to avoid clogging of small pores in the particle collection. New composite materials formed by such methods are also disclosed.