In this paper, we fabricated PbZrO3 (PZ) thin films by the way of sol–gel spin on LaNiO3 buffered SiO2/Si substrates, and annealed them at different given temperatures by rapid thermal annealing (RTA). By controlling annealing temperature, PZ thin films showed different microstructures and phase compositions, whose impact of electrical properties and energy storage performance were researched. According to the research findings, the phase composition of film presents a general rule with the decrease of annealing temperature: PZ thin films crystallize into perovskite phase, pyrochlore phase, and amorphous phase. The films annealed at 620 °C crystallized into a state of coexistence of pyrochlore phase and perovskite phases, which also show moderate recoverable energy density and the highest energy storage efficiency (8.7 J cm−3 and 93.1%). This energy storage performance can be attributed to the synergistic effect of high electric breakdown strength of dense pyrochlore phase structure and high maximum polarization of perovskite phase. The findings of this paper help to explain the influence of pyrochlore phase on the energy storge performance of thin films. Thus, it is useful way to improve the energy storage performance of thin films.