TiO2–xZrO2 films of various phase compositions were synthesized by sol–gel technique. According to the Raman spectroscopy, data films with x = 0–20% possess an anatase crystal structure, with x = 40%, exhibiting zirconium titanate ZrTiO4 structure and a film with x = 50% is amorphous. Anatase-structured films demonstrate a high and reproducible response to oxygen in a wide range of concentrations (1–20%) under temperatures of 400–450 °C. The film with 10% ZrO2 exhibits the best response, which is in particular attributed to the lower particle size of the coating compared with that of other films. It was shown that the response to oxygen upon increasing the operating temperature from 400 to 450 °C diminishes much less in the case of titanium dioxide doped with 10% ZrO2, than in the case of pure TiO2. Introduction of the Zr4+ ion into the anatase crystal structure also decreases the baseline drift. It was shown that thin films of TiO2–xZrO2 (with x = 0 and 10%), obtained in this study, possess a good selectivity to oxygen; the response to other analyte gases (H2, CH4, and CO) does not exceed 1.6 and 1.4 under the temperatures of 400 and 450 °C, respectively.