La0.6Sr0.4Co0.8Fe0.2O3−δ (LSCF) cathodes have been deposited by conventional spray pyrolysis on Ce0.8Gd0.2O1.9 (CGO) electrolytes at different temperatures between 250 and 450 °C, obtaining electrodes with different microstructure and porosity. Highly porous and macroporous electrodes are obtained at deposition temperatures of 250 °C and 450 °C, respectively, with an average grain size of 30–50 nm. The influence of the post-annealing treatment on the microstructure and on the electrochemical properties is investigated by scanning electron microscopy and impedance spectroscopy in air and as a function of the oxygen partial pressure to identify the different contributions to the polarization. Samples annealed at 650 °C show similar values of area specific resistance 0.04–0.06 Ω cm2 at a measured temperature of 650 °C. However, after annealing the samples at 850 °C, the ASR values increase up to 0.1–0.6 Ω cm2 with the lowest value corresponding to the film deposited at 250 °C due to the large porosity and surface area of this film. The performance degradation upon annealing is attributed to decreasing reaction sites induced by grain growth and densification.