Effect of both the substrate temperature and the annealing atmosphere (vacuum or nitrogen atmosphere) on the formation of the phase composition and structures in nanoscale CoSb$_{х}$ films (30 nm) (1.8 $\leq х \leq$ 4.2) with concentration of Sb from 65 at.% to 81 at.% is investigated. As determined, the roentgenoamorphous state is formed during the deposition on a substrate at the room temperature. Upon further heating, after crystallization, the region of CoSb$_3$ phase existence is extended (75–80 at.% Sb) in comparison with the massive state (75 at.% Sb). With substrate temperature increasing up to 200°C, the Co–Sb films in crystalline state are formed, and regularities of the phase-composition formation in the films are characterized by a sequence of transitions that is similar to the diagram of phase equilibrium for the massive state of Co–Sb system. As established, the CoSb$_3$ films are thermally stable up to $\cong$ 300°C. The annealing of Co–Sb films in both vacuum and nitrogen atmosphere at temperatures higher 300°C leads to sublimation of excess antimony as well as antimony from CoSb$_3$ crystal phase. As shown, effect of the annealing atmosphere for the Co–Sb films appears in more intense sublimation of antimony at the annealing in a vacuum. As determined, a more intensive process of Sb sublimation at the annealing of roentgenoamorphous films in both the vacuum and the nitrogen atmosphere is bound up with lower activation energy of Sb sublimation in comparison with crystalline films.