The analysis of multivariate time series data is challenging due to the various frequencies of signal changes that can occur over both short and long terms. Furthermore, standard deep learning models are often unsuitable for such datasets, as signals are typically sampled at different rates. To address these issues, we introduce MultiWave, a novel framework that enhances deep learning time series models by incorporating components that operate at the intrinsic frequencies of signals. MultiWave uses wavelets to decompose each signal into subsignals of varying frequencies and groups them into frequency bands. Each frequency band is handled by a different component of our model. A gating mechanism combines the output of the components to produce sparse models that use only specific signals at specific frequencies. Our experiments demonstrate that MultiWave accurately identifies informative frequency bands and improves the performance of various deep learning models, including LSTM, Transformer, and CNN-based models, for a wide range of applications. It attains top performance in stress and affect detection from wearables. It also increases the AUC of the best-performing model by 5% for in-hospital COVID-19 mortality prediction from patient blood samples and for human activity recognition from accelerometer and gyroscope data. We show that MultiWave consistently identifies critical features and their frequency components, thus providing valuable insights into the applications studied.