The work is concerned with ascertainment of the regularities for thermostimulated formation of the phase composition and structure of CoSb$_{3}$-scutterudite-based films deposited by the vacuum condensation method as well as the effect of the nanoscale factor on their thermoelectric properties. The influence of the substrate temperature and physical-technological parameters of heat treatment (temperature, duration, environment) on the phase composition, structure, mechanical-stress level, and thermoelectric properties of the CoSb$_{x}$ (30 nm) (1.8 $\leq$ $x$ $\leq$ 4.2) (65–81 at.% Sb) films is studied. As determined, the change in the substrate temperature during the deposition of nanoscale Co–Sb films in the concentration range of 65–81 at.% Sb allows regulating the structural state. During the deposition on substrates at a room temperature, an X-ray amorphous state with an extended region for existence of the CoSb$_{3}$-type phase at 75–80 at.% Sb after crystallization and further heating is formed. When the substrate temperature increases up to 200°C, a crystalline state forms, and regularities of phase composition formation in Co–Sb films are characterized by a sequence, which is analogous to the phase equilibrium diagram for the bulk state of the Co–Sb system with the CoSb$_{3}$-type phase formation at $\approx$ 75 at.% Sb. As found, films based on CoSb$_{3}$ are thermally stable up to $\approx$ 300°C. Thermal treatment of Co–Sb films with an Sb concentration of 65–81 at.%, both in vacuum and under nitrogen, at the temperatures above 300°C, leads to the occurrence of phase transformations and a change in the structure according to the schemes: CoSb$_{3}$ + Sb $\rightarrow$ CoSb$_{3}$ (at 300°C), CoSb$_{3}$ $\rightarrow$ CoSb$_{3}$ + CoSb$_{2}$ (at 400–500°C), CoSb$_{2}$ $\rightarrow$ CoSb$_{2}$ + CoSb (at 500–600°C) because Sb atoms get rise in an ability to sublimate from the X-ray amorphous or crystalline state and cobalt antimonides, CoSb$_{2}$ and CoSb$_{3}$, if annealing temperature increases. As determined, the presence of the nanoscale factor (i.e., the single-phase crystalline structure of CoSb$_{3}$ scutterudite with an extended area of existence in the film form with increased structural imperfection due to the sublimation of antimony and reduction in the grain size) causes an increase in the thermoelectric efficiency coefficient of Co–Sb films in $\approx$ 8 times as compared to the bulk material. This has a practical importance when these materials are used for providing the autonomous power supply for low-power electronic devices and creating film coolers in the elemental base of the nanoscale range for computer equipment and infrared sensors.