The effect of thermal annealing on the optical properties, microstructure, and laser-induced damage threshold (LIDT) of HfO₂/Ta₂O₅/SiO₂ HR films has been investigated. The transmission spectra shift to a short wavelength and the X-ray diffraction peaks of monoclinic structure HfO₂ are enhanced after thermal annealing. The calculated results of the m( 111) diffraction peak show that the HfO₂ grain size is increased, which is conducive to increasing the thermal conductivity. Thermal annealing also reduces the laser absorption of high-reflection films. The improvement of thermal conductivity and the decrease of laser absorption both contribute to the improvement of LIDT. The experimental results show that the highest LIDT of 22.4 J/cm² is obtained at 300°C annealing temperature. With the further increase of annealing temperature, the damage changes from thermal stress damage to thermal explosion damage, resulting in the decrease of LIDT.