CdFe2O4 thin films have been prepared by a sputtering method, and their structural and magnetic properties have been examined. As-deposited film shows magnetic transition like that of cluster-spin glass or superspin glass, and possesses large magnetization even at room temperature. The magnetic behaviors are partly attributed to crystal structure with a random distribution of cations in CdFe2O4 nanocrystals. Annealing of the as-deposited film at 200 degrees C leads to an increase in magnetization while the magnetization is decreased when the film is annealed at 400 degrees C. The effect of annealing on the magnetic properties has been discussed in terms of the change of microstructure as well as chemical structure of the thin films.