Multilayer structures comprising of SiO₂/SiGe/SiO₂ and containing SiGe nanoparticles were obtained by depositing SiO₂ layers using reactive direct current magnetron sputtering (dcMS), whereas, Si and Ge were co-sputtered using dcMS and high-power impulse magnetron sputtering (HiPIMS). The as-grown structures subsequently underwent rapid thermal annealing (550–900 °C for 1 min) in N₂ ambient atmosphere. The structures were investigated using X-ray diffraction, high-resolution transmission electron microscopy together with spectral photocurrent measurements, to explore structural changes and corresponding properties. It is observed that the employment of HiPIMS facilitates the formation of SiGe nanoparticles (2.1 ± 0.8 nm) in the as-grown structure, and that presence of such nanoparticles acts as a seed for heterogeneous nucleation, which upon annealing results in the periodically arranged columnar self-assembly of SiGe core–shell nanocrystals. An increase in photocurrent intensity by more than an order of magnitude was achieved by annealing. Furthermore, a detailed discussion is provided on strain development within the structures, the consequential interface characteristics and its effect on the photocurrent spectra.