α-Gallium oxide, with its large band gap energy, is a promising material for utilization in power devices. Sapphire, which has the same crystal structure as α-Ga2O3, has been used as a substrate for α-Ga2O3 epitaxial growth. However, lattice and thermal expansion coefficient mismatches generate a high density of threading dislocations (TDs) and cracks in films. Here, we demonstrated the growth of α-Ga2O3 films with reduced TD density and residual stress on microcavity-embedded sapphire substrates (MESS). We fabricated the two types of substrates with microcavities: diameters of 1.5 and 2.2 μm, respectively. We confirmed that round conical-shaped cavities with smaller diameters are beneficial for the lateral overgrowth of α-Ga2O3 crystals with lower TD densities by mist chemical vapor deposition. We could obtain crack-free high-crystallinity α-Ga2O3 films on MESS, while the direct growth on a bare sapphire substrate resulted in an α-Ga2O3 film with a number of cracks. TD densities of α-Ga2O3 films on MESS with 1.5 and 2.2 μm cavities were measured to be 1.77 and 6.47 × 108 cm-2, respectively. Furthermore, cavities in MESS were certified to mitigate the residual stress via the redshifted Raman peaks of α-Ga2O3 films. Finally, we fabricated Schottky diodes based on α-Ga2O3 films grown on MESS with 1.5 and 2.2 μm cavities, which exhibited high breakdown voltages of 679 and 532 V, respectively. This research paves the way to fabricating Schottky diodes with high breakdown voltages based on high-quality α-Ga2O3 films.