WO3 and NiOx films with various thicknesses are deposited by reactive direct current magnetron sputtering. The relationship between film thickness and its electrochromic properties is investigated. A typical five‐layer corresponding complementary electrochromic device (CECD) is fabricated using optimized individual thicknesses of WO3 and NiOx, with UV‐curing Li+‐based polymer gel electrolyte. The results show that increasing film thickness can generally enhance the electrochemical and optical properties of WO3 and NiOx films. However, charge capacities and optical modulation drop when the thickness reaches a critical value, due to the dominance of the diffusion‐controlled process. 350 nm WO3 displays a wide optical modulation of 82.21% with a charge density of 36.72 mC cm−2, whereas 360 nm NiOx exhibits an optical modulation of 46.37% with a charge density of 7.66 mC cm−2. The CECD presents a fast response (bleaching and coloring time of 2.4 and 4 s, respectively) and good durability with optical modulation decreasing only 16% after 300 cycles. The current densities exhibit no significant decline till 3000 cycles during the stable period. The involvement of the diffusion‐controlled process in the electrochemical mechanism is substantiated by fitting chronoamperometry data, and the diffusion coefficient in the activated period is about three times larger than that in the stable period.