We report the effect of thermal annealing on structure, composition, optical transmittance and thickness of a novel fluorozirconate glass (ZLANI) containing Zr, La, Al, Na and In fluorides. In this work, pulsed laser deposition was used to grow thin films of ZLANI, and thermal annealing at different temperatures was performed on the films. Annealing did not change the composition, but a clear structural evolution of the ZLANI glass was observed by transmission electron microscopy (TEM), showing that we can control microstructure independent of composition. An increase in transmittance after the film was subject to a 100 °C thermal anneal was ascribed to the removal of defects and structural relaxation in the amorphous state. Following an anneal of 200 °C, the transmittance decreases due to heterogeneous formation of crystalline nuclei and changes in the local bonding. After the final annealing at 300 °C, a wider-scale crystallization occurred, with some major crystal phases formed as Zr2F8(H2O)6 and ZrO2, which alters the shape of the transmittance curve. The crystalline content of the crystal phases that form in the annealed films was quantified using hollow cone dark field TEM imaging. The 100 °C or 200 °C annealing decreases the film thickness by inducing structural relaxation and densification of the amorphous films, while the thickness increase of the 300 °C annealed film resulted from the formed large crystals. These results provide insights for the design of multilayer nanocomposites with a ZLANI glass matrix, which have potential applications as up-/down-conversion luminescent materials and X-ray storage phosphors.