The nanostructured TiO2 deposits can be synthesized through flame spraying with liquid feedstock based on our previous result. The deposit consisted mainly of anatase TiO2 with a small fraction of rutile TiO2. But the crystalline size of rutile TiO2 was larger than that of anatase TiO2. To clarify the phase formation during the deposition, the nanostructured TiO2 deposits formed by flame spraying with liquid feedstock were annealed at different temperatures from 200 to 800 °C. The microstructure of the as-deposited and annealed TiO2 deposits was characterized by transmission electron microscopy (TEM), X-ray diffraction (XRD) and thermal analysis. The transformation of the anatase crystalline to rutile crystalline in the nanostructured TiO2 was also examined through investigating photocatalytic performance of the TiO2 coatings to degrade the acetaldehyde under the ultraviolet illumination. XRD analysis showed that the significant transformation of anatase crystalline to rutile crystalline occured at the temperature higher than 600 °C. It was found that the grain size of the rutile phase was larger than that of the anatase phase in the deposits annealed at different temperatures. The deposits annealed at temperature lower than 450 °C presented a good photocatalytic activity. However, although the deposit annealed at temperature of 500 °C contained about 95% anatase crystalline, it became photocatalytically inactive. Despite the anatase contents from 95% to 0% in the deposits annealed at temperatures higher than 500 °C, those deposits presented no significant difference in the photocatalytic activity. On the other hand, thermal analysis suggested that the phase transformation of anatase to rutile occurred at 400 to 500 °C. Based on the experimental findings, a model for the phase formation in flame-sprayed nano-TiO2 deposit with liquid feedstock and transformation of the nanostructured TiO2 is proposed.