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Pyrochlore iridate, R₂Ir₂O₇ (R = rare earth elements), is a good platform to study various interesting electronic phases due to the strong spin-orbit coupling. One example is the Weyl semimetal (WSM) state, which was firstly predicted in pyrochlore iridates, can be present in the all-in-all-out (AIAO) spin configuration of the Ir⁴⁺ sites. The WSM hosts linear crossings in the momentum space where Berry curvature accumulate, which can give rise to a large intrinsic anomalous Hall effect. Recently, a finite anomalous Hall conductivity is observed in (111)-oriented epitaxial film of Eu₂Ir₂O₇. In this work, we report magnetic circular dichroism (MCD) with 800 nm optical frequency in the AIAO state of Eu₂Ir₂O₇ thin films.  It indicates a net magnetization after field cooling. The reverse sign of MCD under opposite cooling fields reveals the magnetic origin and selective formed domains between AIAO and all-out-all-in (AOAI). The net magnetization agrees with previous reported lattice distortion in the thin film form. Our work stimulates studies of topological states in pyrochlore iridates and applications in the thin films.