Thin film anode materials in which the active materials were directly deposited on the current collectors are very important for the study and improvement of properties for the new type electrode materials, as well as the application of the thin film micro-batteries. This article summarizes the recent research progress in the thin film anode materials of lithium-ion batteries with high energy densities, which mainly emphasized on preparation, microstructure design and performance enhancement of the Si-, Sn-based alloys and composites, as well as various transition metal oxide thin films with some recent works made in this field by our group. Accordingly, several points for the high energy density thin film anodes were concluded as follows. Nanocrystalline and amorphous structure as well as micro-nano structure tuning could much improve the structure and cycling stability of the pure Si thin film anodes. The cycle performance of Sn-based and Si-based alloy thin films could be enhanced however at the expense of their capacities due to combining with inactive metals. The issues of large initial irreversible capacity loss for the Sn oxide nanocomposites have to be resolved. Most of the nanostructured transition metal oxide thin films had high reversible capacity and good cycleablity, however, their high lithiation/delithiation potentials would lower down the energy density of the battery system. Finally, the article also points out that there are still many practical challenges in the high energy density thin film anode, which could be overcome by further exploration of new-type electrode material systems.