This paper is devoted to the study and construction of compactly supported tight frames of multivariate multi-wavelets. In particular, a necessary condition for their existence is derived to provide some useful guide for constructing such MRA tight frames, by reducing the factorization task of the associated polyphase matrix-valued Laurent polynomial to that of certain scalar-valued non-negative ones. We illustrate our construction method with examples of both multivariate scalar- and vector-valued subdivision schemes. Since our constructions for C1 and C2 piecewise cubic schemes are quite involved, we also include the corresponding Matlab code in the Appendix.