Epitaxial LaNiO3 (LNO)/PbZr0.4Ti0.6O3 (PZT)/LaNiO3 heterostructures have been deposited on LaAlO3 (LAO) substrates, in which LNO films were prepared by magnetron sputtering and PZT films with thicknesses ranging from 40 nm to 160 nm were deposited via sol-gel method. It is found that the structural and physical properties of PZT films are closely related to the tetragonality (c/a-1). With increasing PZT thickness, both tetragonality and remanent polarization increase, and the maximum tetragonality and remanent polarization correspond to a 120-nm-thick PZT film capacitor with a remanent polarization of 61.6 μC/cm2 measured at 425.00 kV/cm. However, as the thickness of PZT film is further increased, the ferroelectric polarization decreases which is attributed to relaxation of the PZT film. The leakage current mechanism of the capacitor remains unchanged regardless of the PZT thickness. It is Space Charge Limited Current (SCLC) conduction mechanism at high electric fields and Ohmic conduction mechanism at low electric fields.