Pulsed laser deposition technique is employed to grow c axis oriented (Bi,Pb)2Sr2CaCu2O8[(Bi,Pb)-2212]/LaAlO3(100) thin films under both the low and high temperature deposition process. The laser induced thermoelectric voltage (LITV) effect is studied on the films grown on vicinal-cut LaAlO3(100) substrates; the influences of deposition time and incident laser energy on LITV signals are investigated. Moreover, in order to prevent laser-ablating or laser-evaperating of the films, (Bi,Pb)-2212 film coated with MgO layer is prepared, and the effect of MgO protecting layer on LITV signals of the films is studied. The result shows that LITV effect can be dramatically enhanced by MgO protection layer.