CdS films were deposited on corning 9059 glass, FTO, ITO and AZO substrates by r.f. magnetron sputtering, and annealed at 380 ℃ in CdCl2+ dry air. Effects of different types of substrate and thermal annealing on the morphology, structure and optical properties were investigated. Field emission scanning electron microscope shows: the morphology of as-deposited and annealed CdS thin films on different substrates is different, grain size and surface roughness increase significantly with annealing. XRD diffraction patterns show: the structure of as-deposited and annealed CdS thin films on different substrates are mixed phase structure of hexagonal and cubic phases, there is a preferential orientation of the crystallits with the hexagonal (002) and cubic (111) peak for as-deposited and annealed CdS films on corning 9059 glass, FTO, and AZO substrates, for as-deposited CdS film on ITO substrate there is no preferentially oriented diffraction peaks, but has highly oriented with hexagonal (002) or cubic (111) peak after annealing; UV-Vis spectrophotometer spectrum analysis shows: the average transmittance in visible spectrum of CdS thin films deposited on AZO, FTO, ITO and Corning 7059 glass substrates in turn decreases, annealing increases the corresponding substrate of CdS films in visible light transmittance, reduces the optical absorption coefficient; annealing significantly increases the band gap of CdS films on different substrates. Analysis reveals that the performance comes from the result of different types of substrate and annealing process for morphology and structure of CdS thin films, and the band tail states changes, due to variation of doping concentration.