The electrocaloric effect (ECE) in the Pb(Mg1/3Nb2/3)O3–PbTiO3 (PMN-PT) solid solution system was investigated by means of detailed direct temperature measurements as a function of temperature, composition, and electric field. The (1−x)PMN-xPT ceramics of compositions 0 ≤ x ≤ 0.3 were fabricated by the columbite route. In opposite to conventional ferroelectrics, the maximum of electrocaloric effect was found to shift from the proximity of depolarization/Curie temperature to higher temperatures above a certain composition-dependent electric field strengths. Especially, the compositions with low PT content showed a broadened temperature range of electrocaloric effect. With increasing PbTiO3 concentration, the magnitude of ΔT increased, and the temperature dependence of the maximum ECE response gradually developed towards a more pronounced anomaly typical for conventional ferroelectrics. The arising high temperature electrocaloric effect in the ergodic relaxor phase was attributed to the contribution from polar nanoregions. All the compositions studied showed the highest electrocaloric activity just above the depolarization/Curie temperature close to the possible critical point, as recently predicted and observed for some compositions. The magnitude of the maximum electrocaloric temperature change was in the range of ΔT = 0.77–1.55 °C under an electric field strength of 50 kV/cm.