Dielectric sesquioxide films (Sc₂O₃, Y₂O₃, and Lu₂O₃) were fabricated by pulsed-laser deposition and tested in terms of their laser damage properties for pulses of 500 fs duration, at a wavelength of 1030 nm and at a 10 Hz repetition rate. Comparable tests were performed with magnetron-sputtered thin films of established optical-coating materials (SiO₂, HfO₂, and Nb₂O₅), whose results served as a benchmark. The laser-induced damage thresholds of the sesquioxides are comparable to each other, and in the multi-pulse test regime show values close to ones of HfO₂ coatings. A lower damage threshold was observed for the polycrystalline Lu₂O₃ film grown on sapphire compared to single-crystal Lu₂O₃ grown on yttrium aluminium garnet (Y₃Al₅O₁₂), attributed to the highly textured morphology and potential for a greater density of defect states in these films. We conclude that pulsed-laser deposition is a potential fabrication method of sesquioxides for use in high-power resistant optical components for ultrashort-pulse lasers.