CaFe2O4 is a highly anisotropic antiferromagnet reported to display two spin arrangements with up–up–down–down (phase A) and up–down–up–down (phase B) configurations. The relative stability of these phases is ruled by the competing ferromagnetic and antiferromagnetic interactions between Fe3+ spins arranged in two different environments, but a complete understanding of the magnetic structure of this material does not exist yet. In this study, we investigate epitaxial CaFe2O4 thin films grown on TiO2 (110) substrates by means of pulsed laser deposition (PLD). Structural characterization reveals the coexistence of two out-of-plane crystal orientations and the formation of three in-plane oriented domains. The magnetic properties of the films, investigated macroscopically as well as locally, including highly sensitive Mössbauer spectroscopy, reveal the presence of just one order parameter showing long-range ordering below T = 185 K and the critical nature of the transition. In addition, a non-zero in-plane magnetization is found, consistent with the presence of uncompensated spins at phase or domain boundaries, as proposed for bulk samples.