For the first time, thermoelectric thin films were fabricated by femtosecond pulsed laser deposition (fs-PLD) that represents a challenging technological solution for this application since it provides a correct film stoichiometry compared to the starting target, capability of native nanostructuring and a high deposition rate. In particular, this paper shows a preliminary work on PbTe and PbTe/Ag thin films deposited at different substrate temperatures by fs-PLD from a microcrystalline PbTe target. Structural, morphological and compositional characterizations of the deposited films were performed to demonstrate the formation of films composed by crystalline nanograins (about 35 nm size) and characterized by a correct stoichiometry. A remarkable deposition rate of 1.5 nm/s was evaluated. The electrical conductivity and the Seebeck coefficient (thermopower) were measured as a function of operating temperature to derive the thermoelectric power factor that was found to be less than a factor 2 with respect to the bulk materials. Finally, a discussion about the influence of compositional and structural properties of the deposited films on the related thermoelectric performances was presented.