This study aimed to investigate the structural characteristics of Stichopus horrens collagen (SHC), Holothuria scabra collagen (HSC), and Holothuria leucospilota collagen (HLC) and to assess the effect of transglutaminase (TGase) on their film-forming properties. The results indicated that the collagens from three species of sea cucumbers were type I collagen with a complete triple helical structure. The thermal denaturation temperature of HLC (34.6 °C) was higher than that of SHC (32.8 °C) and HSC (32.3 °C). Among the films without TGase, the HLC collagen films (HLCF) performed the best performance, demonstrating excellent barrier properties, strong hydrophobicity, and good thermal stability. Furthermore, the addition of TGase improved the performance of collagen films, especially in HLCF-TG. Notably, the mechanical properties of HLCF-TG were significantly enhanced, with tensile strength reaching the highest value of 5.36 ± 1.14 MPa. Fourier transform infrared spectroscopy and scanning electron microscopy confirmed that TGase cross-linking enhanced the hydrogen bonding between collagen molecules, resulting in a dense and orderly film structure, which further improved the properties of the film. These findings provide valuable information on the processing of sea cucumber collagen and its potential applications in food packaging films.