Co40Fe40B10Dy10 thin films, with thicknesses varying between 10 nm and 50 nm, were grown on a Si(100) substrate. Subsequently, they underwent a 1 h annealing process in an Ar atmosphere at temperatures of 100 °C, 200 °C, and 300 °C. The oxide characteristic peaks of Dy2O3(440), Co2O3(422), and Co2O3(511) were revealed by X-ray diffraction (XRD). The low-frequency alternating current magnetic susceptibility (χac) decreases with frequency. Due to thickness and the anisotropy of the magnetic crystal, the maximum χac and saturation magnetization values rise with thicknesses and annealing temperatures. As the thickness and heat treatment temperature rise, the values for resistivity and sheet resistance tend to fall. The results of atomic force microscopy (AFM) and magnetic force microscopy (MFM) show that average roughness (Ra) lowers as the annealing temperature increases, and the distribution of strip-like magnetic domain becomes more visible. As thickness and annealing temperature increase, there is a corresponding rise in surface energy. Nano-indentation testing shows that hardness initially decreases from 10 nm to 40 nm, followed by an increase at 50 nm. Notably, annealing at 300 °C leads to a significant hardening effect, marking the highest level of hardness observed. Young’s modulus increased as thicknesses and annealing temperatures increased. The magnetic, electric, and adhesive characteristics of CoFeBDy films are highly dependent on surface roughness at various annealing temperatures.