Copper oxide thin films were prepared by a direct-current magnetron sputtering method followed by a thermal annealing treatment at 100–500 °C. The obtained films were characterized by X-ray diffraction, UV-vis absorption spectroscopy, scanning electron microscopy, Raman spectroscopy, and X-ray photoelectron spectroscopy. With the increase of the annealing temperature, it was found that the films transformed sequentially from amorphous to single-phase Cu (100 °C), mixed-phase of Cu and Cu2O (150 °C), single-phase Cu2O (200 °C), then to mixed-phase of Cu2O and CuO (300 °C), and finally to single-phase CuO (400–500 °C). Further analyses indicated that the Cu/Cu2O thin films and the Cu2O thin films presented no further oxidation even on the surface in air atmosphere. Additionally, the visible-light photocatalytic behavior of the copper oxide thin films on the degradation of methylene blue (MB) was also investigated, indicating that the films with pure Cu2O phase or Cu/Cu2O mixed phases have excellent photocatalytic efficiencies.