Polycrystalline Pb(Zr0.52Ti0.48)O3 (PZT) thick films (thickness ∼10 μm) were successfully fabricated by using a novel aerosol deposition technique on Si wafer, sapphire, and single crystal yitria stabilized zirconia (YSZ) wafer substrates with Pt electrodes and their dielectric, ferroelectric, and piezoelectric properties, and in-plane stresses were investigated. The films with different stress conditions were simply controlled by the coefficient of thermal expansion (CTE) misfit of PZT films and substrates. The results showed that the films bearing in-plane compressive stress deposited on the YSZ and sapphire substrates have superior dielectric, ferroelectric (∼90%), and piezoelectric (>200%) properties over that of the Si wafer. Among these three substrates, YSZ shows superior properties of the PZT films. However, films on Si wafer with tensile stress present lower properties. We believed that in-plane compressive stresses within the films are benefited, the formation of c-domain parallel to the thickness direction resulting in the higher piezoelectric properties. These results suggest that the properties of polycrystalline PZT thick films can be adjusted by simply choosing the substrates with different CTEs.