The influence of thickness and annealing treatment on microstructure and soft magnetic properties of Fe−Si−B−Cu−Nb alloy (Finemet) thin films prepared by magnetron sputtering was systematically studied. As the thickness of the film increases, the coercivity decreases while the saturation magnetization increases, and then both reach a stable state. Following annealing at 773 and 873 K, nanocrystalline α-Fe precipitates within the thin film. The exchange coupling effect between nanocrystals and the amorphous matrix significantly enhances the soft magnetic properties of the thin film. Rapid-thermal process controls the heating rate to minimize grain size and optimize nanocrystal distribution, achieving lower coercivity and higher saturation magnetization without necessitating extra transition metals. Consequently, the Fe−Si−B−Nb−Cu thin film subjected to rapid-thermal process at 873 K for 30 min with a heating rate of 25 K/s exhibits low coercivity of 0.8 A/m and high saturation magnetization of 1.45 T.