Electrocaloric effect, i.e., the entropy and temperature changes arising from phase transition and dipole orientation induced in electric fields, can realize heat transport and refrigeration. The electrocaloric cooling eliminates the use of environmentally harmful coolants, possesses high cooling efficiency, small size and low weight as a promising environmental-friendly and high-efficiency cooling. One key point for electrocaloric cooling toward practical cooling is to enhance the performance of the electrocaloric effect of ferroelectrics. Ferroelectric ceramics have attracted much attention due to their high polarization, rich phase structures and variety of regulation methods. In this review, we introduced the electrocaloric effect of ferroelectric ceramic thin films, bulks and multilayer thick films with various compositions, and discussed the internal relations among electrocaloric effect, compositions, phase transition behaviors and microstructures. Furthermore, we concluded the modulation approaches of the electrocaloric effect of ferroelectric ceramics, and gave the future development of electrocaloric materials.