In this note, we introduce a new type of warped products called as sequential warped products to cover a wider variety of exact solutions to Einstein's field equation. First, we study the geometry of sequential warped products and obtain covariant derivatives, curvature tensor, Ricci curvature and scalar curvature formulas. Then some important consequences of these formulas are also stated. We provide characterizations of geodesics and two different types of conformal vector fields, namely, Killing vector fields and concircular vector fields on sequential warped product manifolds. Finally, we consider the geometry of two classes of sequential warped product space-time models which are sequential generalized Robertson-Walker space-times and sequential standard static space-times,