The ZnO–Li films were synthesized and investigated in an attempt to explore and develop RE-free phosphor materials capable of emitting intense visible light in a wide spectral range. The effects of both heterovalent doping with lithium and high-temperature annealing on the optical properties of ZnO films were studied. The films were deposited on the Al2O3 substrate using the screen-printing method and annealed at 800–1,000°C in air for 0.5–3 h. Both doping and annealing result in the transformation of the shape of reflectance spectra in the range of 300–400 nm and the shift of absorption edge to the long-wavelength region. At the same time, the bandgap value estimated taking into account the exciton peak position and its binding energy is independent of Li-doping. The feature at 300–400 nm and the shift of absorption edge are ascribed to the appearance of the absorption band that excited the yellow photoluminescence band. The photoluminescence spectra of undoped and Li-doped films show the emission bands in the ultraviolet and visible spectral ranges. The ultraviolet emission is due to ZnO exciton recombination. The visible emission band comprises several components peaked at 430, 482, 540, 575, and 640 nm. Their relative intensities depend on Li-doping, annealing temperature, and annealing duration. The 430- and 482-nm luminescence bands were observed in Li-doped films only. Their excitation spectra show the peak located at 330–340 nm, indicating that the energy significantly exceeds the ZnO bandgap energy. Consequently, the 430- and 482-nm luminescence bands are attributed to an additional crystal phase formed under annealing. Other components of visible emission bands are ascribed to the defect-related emission of ZnO. The possible nature of these bands is further discussed. Li-doping and annealing at intermediate temperatures result in blue emission and an enhancement of other visible bands, which makes ZnO–Li films a perspective material in photonic applications.