In this work, L-cysteine capped CdSe nanocrystals thin films were grown on glass substrate by using spin-coating method. The annealing temperature effect on structural, morphological, and optical properties of CdSe thin film is investigated by X-ray diffraction (XRD), Differential scanning calorimetry (DSC), Atomic force microscopy (AFM), UV–Vis and photoluminescence (PL) techniques. XRD analysis showed crystallization and phase transformation of CdSe thin films from cubic (Zinc Blende, β-CdSe) to hexagonal (Wurtzite, α-CdSe) structure are obtained after air-annealing at 250 °C during 30 min. DSC analysis showed the exothermic peak in the range of 170–225 °C, indicating the structural phase transformation of CdSe thin film. AFM analysis exhibited a change in the surface roughness of thin films and the shape of CdSe nanoparticles from hemispherical nanocrystals into microrods as a function of annealing temperature. The surface and volume energy loss (VELF and SELF) functions show different dependences on the incident photon energy for the CdSe films in the energy range 1.5–4 eV as a function of air-annealing temperature. The dispersive optical parameters such as refractive index (n), extinction coefficient (k), and the dielectric constants were found to vary with the annealing temperature. PL measurements showed that the increase in the annealing temperature up to 200 °C results an improvement in the crystalline quality of the CdSe thin film, a decrease in their optical band gap, and an enhancement in the PL peak intensity.