We investigated the effect of copper doping on the photocatalytic properties of TiO2 thin films. Titania thin films doped with three different copper concentrations were synthesized via radiofrequency-assisted (RF) magnetron sputtering, then annealed at 600 °C in controlled atmosphere (Ar, O2, H2 flow). The impact of the annealing in inert, oxidizing or reducing atmosphere on the crystalline and surface structure, and photocatalytic performance in the methylene blue degradation under UV light irradiation was investigated by X-ray diffraction, UV–Vis Spectroscopy, Rutherford Backscattering Spectrometry, Scanning Electron Microscopy. Annealing induced very different crystallization in different atmospheres, with strong copper out-diffusion in samples annealed in reducing atmosphere and formation of large embedded nanoparticles. The Cu-doped titania films exhibited higher photocatalytic activity than pure titania film and the best performing catalyst, treated in H2 atmosphere, suggests that the presence of embedded copper nanoparticles (both metallic and oxidized) is able to strongly enhance the photocatalytic properties of the host titania matrix. Incorporated Cu particles can act as trapped sites for generated electrons, and this leads to the reduction of carrier recombination which, ultimately, plays a significant role in the increase of photoactivity. The recyclability of the best system was ascertained by a suitable 3-cycle stability test.