Nanostructured films are considered as a characteristic (distinctive) type of consolidated nanostructured materials (NMs). Their benefits as compared to other types of NMs are described in detail. Some new interesting results related to mechanical and physical properties of nanostructured films based on high-melting point compounds (nitrides, borides and carbides), metals, and oxides are discussed. Data on film hardness, type of deformation, effect of additional magnetic field at deposition of films, properties of twins, conductivity, coercivity, and the Hall coefficient are reported and commented.