The purpose of this study is to investigate the effect of annealing conditions on physical and magnetic properties of Fe-Hf-N thin films. When the thin films were annealed in $N_2$ gas, a surface oxide layer, comprised of Fe$_2$O$_3$ and Fe$_3$O$_4$, was formed at the surface of the thin films and a Fe-Hf-O-N layer was also formed under this surface oxide layer. It was found that the thicknesses of the surface oxide layer and the Fe-Hf-O-N layer increased, as the annealing temperature increased. It was also found that if the thickness of the surface oxide layer was excluded in the property calculation, the soft magnetic properties of the annealed thin films were not much different from those of the as-deposited thin films. Therefore, it was suggested that the Fe-Hf-O-N layer formed under the surface oxide layer did not lose significantly the soft magnetic properties of the Fe-Hf-N films and the Fe-Hf-N films annealed in $N_2$gas showed the soft magnetic properties of the Fe-Hf-N and Fe-Hf-O-N multi-layers.