In the presented study, films from tetragonal Li7La3Zr2O12 were obtained by electrophoretic deposition (EPD) for the first time. To obtain a continuous and homogeneous coating on Ni and Ti substrates, iodine was added to the Li7La3Zr2O12 suspension. The EPD regime was developed to carry out the stable process of deposition. The influence of annealing temperature on phase composition, microstructure, and conductivity of membranes obtained was studied. It was established that the phase transition from tetragonal to low-temperature cubic modification of solid electrolyte was observed after its heat treatment at 400 °C. This phase transition was also confirmed by high-temperature X-ray diffraction analysis of Li7La3Zr2O12 powder. Increasing the annealing temperature leads to the formation of additional phases in the form of fibers and their growth from 32 (dried film) to 104 μm (annealed at 500 °C). The formation of this phase occurred due to the chemical reaction of Li7La3Zr2O12 films obtained by electrophoretic deposition with air components during heat treatment. The total conductivity of Li7La3Zr2O12 films obtained has values of ~10−10 and ~10−7 S cm−1 at 100 and 200 °C, respectively. The method of EPD can be used to obtain solid electrolyte membranes based on Li7La3Zr2O12 for all-solid-state batteries.