The ongoing miniaturization of thermoelectric (TE) modules requires scaling down to thin films of TE materials with high efficiency. Moreover, thin film-based integrated devices contain interfaces (between TE materials and dielectric or conductive components) that must show chemical and mechanical stability in the whole range of the operating temperature. In search for such materials, thin films of Mg2(Si,Sn) solid solutions have been deposited by microwave plasma-assisted co-sputtering method with a fine control over their composition. Three types of substrates were chosen (SiO2/Si, glass and Ni substrates) to examine their potential use as insulators and electrodes in a miniaturized thermoelectric module based on Mg2(Si,Sn). The electrical conductivity and thermo-mechanical properties, as well as the thermal stability, of the thin films have been investigated in the intermediate range of temperature (300–700 K). It is shown that the deposition process, as well as the substrates on which the films are grown, determine the subsequent adherence of the films. Also, the metastability of the Mg2Si0.4Sn0.6 solid solution for small variations in composition (possibly bordering the edge of the miscibility gap in the phase diagram) has been observed, which can lead to a separation into 2 phases during the first annealing treatment at intermediate temperatures.