In the present work, an in-depth study on the sol-gel process for the fabrication of Eu-doped CaF2 materials in the form of thin films has been addressed for the production of down-shifting layers. Fine-tuning of the operative parameters, such as the annealing temperature, substrate nature and doping ion percentage, has been finalized in order to obtain Eu(III)-doped CaF2 thin films via a reproducible and selective solution process for down-shifting applications. An accurate balance of such parameters allows for obtaining films with high uniformity in terms of both their structural and compositional features. The starting point of the synthesis is the use of a mixture of Ca(hfa)2•diglyme•H2O and Eu(hfa)3•diglyme adducts, with a suited ratio to produce 5%, 10% and 15% Eu-doped CaF2 films, in a water/ethanol solution. A full investigation of the structural, morphological and compositional features of the films, inspected using X-ray diffraction analysis (XRD), field emission scanning electron microscopy (FE-SEM) and energy dispersive X-ray analysis (EDX), respectively, has stated a correlation between the annealing temperature and the structural characteristics and morphology of the CaF2 thin films. Interestingly, crystalline CaF2 films are obtained at quite low temperatures of 350–400 °C. The down-shifting properties, validated by taking luminescence measurements under UV excitation, have allowed us to correlate the local environment in terms of the degree of symmetry around the europium ions with the relative doping ion percentages.