In this study, the surface morphology evolution and the change of the phase structure of r-cut sapphire substrates annealed at different temperatures for different time in O2, and the effects of annealing conditions on the growth of CeO2 and Tl-2212 films, were investigated by AFM and XRD. The results of AFM show that the local steps on the substrate annealed at 1000℃ is formed firstly, and then the multilayer terrace-and-step structure, yielding from prolonging annealing time, evolves into wide terrace-and-step structure with ultrasmooth terrace through the coalition of initial localized steps, which slightly tilts to the surface. XRD measurements show that the CeO2 films prepared on r-cut sapphire annealed at the optimized conditions and the 500 nm thick Tl-2212 films grown on the CeO2 buffer layers subsequently possess excellent in-plane and out-of plane orientation, and the annealing temperature and annealing time have strong effect on the crystalline quality of substrates and CeO2 films. The Tl-2212 films have a high transition temperature (Tc=104.7 K), a high critical current density (Jc=3.5 MA/cm2 at 77.3K and zero applied magnetic field) and a low surface resistance (Rs=390μΩ at 10GHz and 77K).