Multifunctional coated glass with antireflective, hydrophilic, and photocatalytic properties was prepared by magnetron sputtering. Cu/WO3 bilayered structures were deposited on the glass surface, and Cu and its oxide-loaded WO3 composite thin films were obtained by annealing at 574 K, 674 K, 774 K, and 824 K. The effects of micro-characteristics on antireflective, hydrophilic, and photocatalytic properties were investigated to obtain the best composite. The density and reflectivity of the films were reduced by changing the annealing temperature. The composite film annealed at 774 K had the highest transmittance of 85% at 629 nm. Moreover, the annealed Cu/Cu2O/CuO@WO3 films manifested excellent hydrophilic properties due to the formation of large agglomerated structures on their surfaces. Cu and its oxides were loaded with WO3 to obtain Z-type heterojunctions and plasma resonance, which greatly improved the photocatalytic efficiency of the films. The photocatalytic degradation rate of the composite films reached 2.3 × 10-−2 min−1, which was 3–4 times larger than that of the pure WO3 film. Therefore, this study provides new possibilities for the preparation of antireflective and self-cleaning thin films with high efficiency and low cost.