0.68PbMg1/3Nb2/3O3–0.32PbTiO3 (PMN–PT) thin films with a lead zirconate titanate Pb(Zr0.3Ti0.7)O3 (PZT)/PbOx buffer layer were deposited on Pt/TiO2/SiO2/Si substrates by radio frequency magnetron sputtering technique, and pure perovskite crystalline phase with highly (100)-preferred orientation was formed in the ferroelectric films. We found that the highly (100)-oriented thin films possess not only excellent dielectric and ferroelectric properties but also a large electrocaloric effect (13.4K at 15V, i.e., 0.89K/V) which is attributed to the large electric field-induced polarization and entropy change during the ferroelectric–paraelectric phase transition. The experimental results indicate that the use of PZT/PbOx buffer layer can induce the crystal orientation and phase purity of the PMN–PT thin films, and consequently enhance their electrical properties.