Optical and structural properties of a blend thin film of (1:1 wt.) of poly(3-hexylthiophene) (P3HT) and [6,6]-phenyl-C61-butyric acid methyl ester (PCBM) doped with iodine (I2) and then exposed to a stepwise heating were reported and compared with the properties of doped P3HT films. The UV-Vis(T) absorption measurements were performed in situ during annealing runs, at the precisely defined temperatures, in a range of 20–210 °C. It was demonstrated that this new method allows one to observe the changes of absorption spectra, connected with the iodine release and other structural processes upon annealing. In addition, the thermally-induced changes of the exciton bandwidth (W) and the absorption edge parameters, i.e., the energy gap (EG) and the Urbach energy (EU) were discussed in the context of different length of conjugation and the structural disorder in polymers and blends films. During annealing, several stages were distinguished and related to the following processes as: the iodine escape and an increase in P3HT crystallinity, the orderly stacking of polymer chains, the thermally inducted structural defects and the phase separation caused by an aggregation of PCBM in the polymer matrix. Moreover, the detailed X-ray diffraction studies, performed for P3HT and P3HT:PCBM films, before and after doping and then after their thermal treatment, allowed us to consider the structural changes of polymer and blend films. The effect of iodine content and the annealing process on the bulk heterojunction (BHJ) solar cells parameters was checked, by the impedance spectroscopy (IS) measurements and the J-V characteristics registration. All of the investigated P3HT:PCBM blend films showed the photovoltaic effect; the increase in power conversion efficiency (PCE) upon iodine doping was demonstrated.