In this study, PbZr0.52Ti0.48O3/PbZrO3 (PZT/PZ) multilayer films were prepared on SiO2/Si substrate buffered with LaNiO3 (LNO) thin films, and then annealed at different temperatures by rapid thermal annealing (RTA) technology. The phase structures, microstructures, and electrical properties of the obtained PZT/PZ multilayer films were studied. According to the results of XRD and SEM, it was found that the PZ films with perovskite phase were obtained by annealing at 650 °C firstly. The PZT films on crystallized PZ films were in amorphous phase after annealing at 450 °C, in pyrochlore phase after annealing at 550 °C, and finally in perovskite phase at annealing temperature higher than 600 °C. The multilayer films with the PZT films annealed at 550 °C exhibited linear hysteresis loops, and such films showed the enhanced energy storage density of 31.6 J cm−3 and the energy storage efficiency of 66.9% at a high breakdown field strength of 2475 kV cm−1. The experimental results proved that the phase structure of the PZT/PZ multilayer films can be regulated by different annealing temperatures, which could further enhance the energy storage performance of the PZT/PZ multilayer films.