Zirconium oxide (ZrO2) thin films were prepared by the sol-gel dip coating technique, in combination with annealing at different temperatures in air atmosphere, with the final goal of studying the water wettability of the surface. The annealing effects on the structural and optical properties of the ZrO2 films were investigated to check the characteristics of the material. X-ray diffraction (XRD) patterns of ZrO2 annealed at 450 °C and 550 °C show the formation of tetragonal phase, with layers constituted by nanoparticles with average particle size of 21 nm and 25 nm, respectively. Fourier-transform infrared spectroscopy (FT-IR) spectra revealed the presence of vibrational modes associated to ZrO2. Photoluminescence (PL) and ultraviolet-visible spectroscopy (UV–Vis) spectroscopy was used for optical properties. All deposited ZrO2 thin films presented a high optical transparency, with an average transmittance above 70% in the visible range (400–700 nm). The hydrophilic properties of ZrO2 films were characterized by means of the measurements of the contact angle. When the sample was annealed at 550 °C, the hydrophilicity reached the best behavior, which was explained as an effect of the structural and morphological change of the films.