Rare-earth (R) nickelates (such as perovskite RNiO3, trilayer R4Ni3O10, and infinite layer RNiO2) have attracted tremendous interest very recently. However, unlike widely studied RNiO3 and RNiO2 films, the synthesis of trilayer nickelate R4Ni3O10 films is rarely reported. Here, single-crystalline (Nd0.8Sr0.2)4Ni3O10 epitaxial films were coherently grown on SrTiO3 substrates by high-pressure magnetron sputtering. The crystal and electronic structures of (Nd0.8Sr0.2)4Ni3O10 films were characterized by high-resolution X-ray diffraction and X-ray photoemission spectroscopy, respectively. The electrical transport measurements reveal a metal-insulator transition near 82 K and negative magnetoresistance in (Nd0.8Sr0.2)4Ni3O10 films. Our work provides a novel route to synthesize high-quality trilayer nickelate R4Ni3O10 films.