Room-temperature results of cathodoluminescence (CL) spectroscopy investigations are presented for nanostructured titanium dioxide (anatase) thin films (500 nm thick) deposited via RF magnetron sputtering on high-purity silica substrates. The collected CL bands of the anatase thin films, as deposited and after different annealing cycles, showed a broad morphology consisting of three Voigtian bands located at 500, 550, and 610 nm that were partially overlapping. The overall CL emission increased with increasing temperature and time of the annealing cycle as a consequence of the increased crystallinity of the thin film. A clear trend was found for the oxygen-vacancy-related band (located at 610 nm), whose relative intensity decreased, as compared with the as-grown sample, after annealing in air; the higher the annealing temperature, the lower the relative intensity. We evaluated the photoactivity of the nanostructured thin film samples by measuring their photocatalytic activity in aqueous solution toward the degradation of phenol. A relationship between the decrease in oxygen vacancy concentration as a consequence of the annealing and the increase in the photoactivity was highlighted.