We deposit composite MgF2-ZnS and MgF2-Ta2O5 thin films by coevaporation, and explore their optical, mechanical and thermal properties. The refractive indices of pure MgF2, Ta2O5 and ZnS films are 1.37 to 1.38, 1.94 and 2.38 at 550 nm wavelength, respectively. In the MgF2-ZnS system, the measured refractive index is in good agreement with the Drude formula and the stress varied from tensile (3.5 x109 dyne/cm2) for pure MgF2 films to compressive (2.7 x109 dyne/cm2) for pure ZnS films. The transition from tensile stress to compressive stress occurs at a composition corresponding to 43% MgF2 by mole fraction. In the intermediate compositions of 40 to 75% MgF2, the system exhibits very low stresses. In the MgF2-Ta2O5 system, the measured refractive index agrees well with the Lorentz-Lorenz formula and all films have tensile stresses, in the range 0.7 to 3.1 x109 dyne/cm2, depending on the film composition. The film stress does not vary linearly with the film composition. We determine the thermal diffusivity of the films using the photoacoustic effect. The thermal diffusivities of the films increase with the mole fraction of MgF2. They are found to be an order of magnitude of 10-25 cm2/s.