The dependences of the coherent scattering region size and thermal expansion coefficient α of a PbS nanofilm on the annealing temperature in the range of 293–473 K and on the duration of annealing at a constant temperature of 423 K have been measured. It has been found that the thermal expansion coefficient α of the PbS nanofilm is almost twice as much as the coefficient α of coarsegrained lead sulfide. It has been shown that the large difference in the coefficients α is associated with the small size of particles in the film, which leads to an increase in the anharmonicity of atomic vibrations. The contribution from the small size of particles to the thermal expansion coefficient of the PbS nanofilm has been evaluated theoretically.