Thin films of CdSe with thicknesses of 50, 75 and 100 nm were prepared by physical vapour deposition using a 'one-step' or a 'step-by-step' deposition approach. The influence of the deposition conditions and film thickness on the microstructure and electrical properties has been explored by means of atomic force microscopy (AFM), dark conductivity, photoconductivity and thermally stimulated conductivity measurements. The AFM results have shown that smaller grains are formed in thinner films and that the size decrease is enhanced when the step-by-step deposition approach is used. A significant increase of the dark current activation energy with decreasing layer thickness has been registered and identified with a Fermi-level shift. A decrease of dark conductivity and photoconductivity has been observed with decreasing layer thickness which has been connected with both a size-induced increase of the interface defect density and appearance of new 'faster' recombination centres. The observed decrease is stronger in step-by step layers, in which the density of incorporated oxygen is higher. The oxygen creates new acceptor defects and causes band bending at grain boundaries. From the thermally stimulated conductivity data two kinds of defect states have been resolved situated at about 0.55 eV and 0.67 eV below the conduction band. A simultaneous fitting method has been applied to determine the main trap parameters.