During the post-annealing and cooling process of CoSb3 thin films deposited on thermally oxidized Si(100) substrates, cracks occur at the surface of the films, which can be caused by the difference in thermal expansion coefficient of the substrate and the film. To investigate the crack formation, 40-nm-thick CoSb3 films were deposited at room temperature under ultra-high vacuum (UHV) conditions onto various substrates, exhibiting different thermal expansion coefficients (2 × 10−6 to 12 × 10−6 K−1). All samples were post-annealed in UHV at 500 °C for 1 h. The composition of the films was verified by Rutherford backscattering spectrometry. The phase formation and elastic stress of the films were analyzed by X-ray diffraction, confirming the formation of the desired skutterudite phase, while the individual grains were studied by electron backscatter diffraction. In addition, the surface morphology and the roughness of the films were investigated by atomic force microscopy. For substrates with a thermal expansion coefficient between 9 × 10−6 and 11 × 10−6 K−1, crack formation can be prevented and a minimum in roughness was found, resulting also in a minimal value of the electrical resistivity.