This paper reviews the theoretical models and methods of analysis of deformation, damage and fracture in thin film/substrate systems. The mechanisms and models of the plastic deformation of thin films, as well as the effects of the dislocation formation and movement on the strength and deformation of thin films are reviewed. The concepts and methods of the theoretical and numerical analysis of the crack propagation in thin films are discussed. The mechanisms and models of cracking, decohesion and delamination, the effects of the substrate properties, as well as of cracking in a thin film between two substrates are analyzed. Continuum mechanical, probabilistic, and lattice models of damage evolution in brittle thin films, the fragmentation of thin films on a substrate, and the formation of the crack patterns are reviewed as well. Numerical models of nanoindentation are discussed. This review article contains 106 references.