Cadmium zinc telluride (CdZnTe) thin films, characterized by a high atomic number, tunable optical bandgap, and excellent photoelectric conversion performance, hold significant potential in advanced applications such as thin-film photovoltaic cells, infrared imaging, and high-energy radiation detection. However, achieving low-cost fabrication and high-quality film formation remains a critical challenge for their industrial deployment. In this work, we systematically reviewed the vapor deposition techniques for CdZnTe thin films. While methods such as physical vapor transport, vacuum thermal evaporation, hot-wall epitaxy, magnetron sputtering, and close spaced sublimation offer advantages in simplicity and cost-effectiveness, they suffer from issues such as poor film uniformity and high lattice defect density. In contrast, molecular beam epitaxy and metal-organic chemical vapor deposition enable atomic-level precision and superior lattice integrity, but are constrained by high process costs and complex equipment, limiting their scalability. To enhance the quality of CdZnTe thin films, this work highlighted three key optimization strategies: (1) refining growth parameters for precise process control, (2) improving heteroepitaxial quality through interfacial buffer layer design, and (3) mitigating intrinsic defects via annealing treatments. Ultimately, we concluded that balancing film performance with production costs and overcoming the technical challenges of large-area uniform film deposition would be critical for the future advancement of CdZnTe thin films.