We employed Raman and XRD analysis to study structural changes during heat-induced strain relaxation in thin films of Gd-doped ceria with X=0.05, 0.10 and 0.20. The films were prepared by radio frequency magnetron sputtering. According to the X-ray diffraction pattern acquired as a function of the inclination angle, the as-deposited films have varying in-plane compressive strain of up to 0.5%. Annealing at 400 °C, causes partial or complete strain relaxation. In parallel, we measured the position of the Raman peak corresponding to the F2g symmetric vibration mode. This measurement was done at defined micrometric areas on the film surface, thus removing film anisotropy effects. The mode Grüneisen parameter, γi, calculated from the XRD and Raman data showed a large variance with both location and sample age. This strongly suggests the existence of inelastic relaxation processes in the films. The lattice vibrations in Gd-doped ceria have large anharmonicity and cannot be described by the same γi extracted from high-pressure Raman measurements of Ceria. These data are consistent with the recently published EXAFS study stating that the Ce-O bonds adjacent to an oxygen vacancy are strongly anharmonic and CeCe-VO pairs behave as elastic dipoles capable of rearranging under strain.