Transmittance is critical to the performance of optoelectronic devices, and the fabrication of nanostructure arrays with sizes and periods similar to wavelengths on optical surfaces can effectively reduce reflectance and increase transmittance. A method combining a femtosecond laser and the near-field effect of polystyrene (PS) microspheres to prepare integrated high-performance anti-reflective nanostructure arrays on aluminum-doped zinc oxide (AZO) film was proposed in this study. The near-field effect of microspheres with different diameters on a laser light field for several laser wavelengths was simulated with the finite-difference time-domain (FDTD) method. The simulation results showed that a 10-fold improvement of the intensity of a focused laser beam could be obtained with the combination of an 800-nm laser and 1-μm PS microspheres. Nano-craters on the surface of the AZO film were obtained with femtosecond laser irradiation. The depth and the area of these nano craters both increased with the increase of the laser fluences and tended toward saturation when the fluence went from 0.67 to 0.83 J/cm2. Facilitated by the gradient refractive index formed by the nano-craters, the transmittance of the sample treated with 0.83 J/cm2 increased by 8% in the 400–1100 nm band and even by 15% in the 400–600 nm band. The ablation mechanism was revealed by the time-resolved pump-probe technique, which proved that the nano-craters were formed by the phase explosion, and the smooth bottom with fine cracks was induced by the inhomogeneous resolidification of the superheated liquid phase. Our method could endow a photoelectric device with high-performance integrated anti-reflection capability, eliminating the need for additional anti-reflection coating.