MnO thin films with various thicknesses and strains were grown on MgO substrates by pulsed laser deposition, then characterized using x-ray diffraction and infrared reflectance spectroscopy. Films grown on (001)-oriented MgO substrates exhibit homogenous biaxial compressive strain which increases as the film thickness is reduced. For that reason, the frequency of doubly-degenerate phonon increases with the strain, and splits below N\'eel temperature TN due to the magnetic-exchange interaction. Films grown on (110)-oriented MgO substrates exhibit a huge phonon splitting already at room temperature due to the anisotropic in-plane compressive strain. Below TN, additional phonon is activated in the IR spectra; this trend is evidence for a spin-order-induced structural phase transition from tetragonal to monoclinic phase. Total phonon splitting is 55 cm-1 in (110)-oriented MnO film, which is more than twice the value in bulk MnO. This result is evidence that the nearest neighbor exchange interaction, which is responsible for the magnetically driven phonon splitting, is greatly increased in compressively strained films.