Ferroelectric thin/thick films with large electrocaloric (EC) effect are critical for solid state cooling technologies. Here, large positive EC effects with two EC peaks in a broad temperature range (~100 K) were obtained in 0.95Pb_0.92La_0.08(Zr_0.70Ti_0.30)_0.98O₃-0.05BiFeO₃ (BFOLa-codoped PZT) epitaxial thin films deposited on the (100), (110) and (111) oriented SrTiO₃ (STO) substrates by a sol-gel method. The thin film deposited on the (111) oriented STO substrate exhibited a stronger EC effect (~20.6 K at 1956 kV/cm) near room temperature. However, the thin films deposited on the (100) and (110) oriented STO substrates exhibited a stronger EC effect (~18.8 K at 1852 kV/cm and ~20.8 K at 1230 kV/cm, respectively) around the peak of the dielectric permittivity (T_m, ~375 K). Particularly, as the direction of the applied electric field was switched (E < 0), the ΔT of the (100)-oriented thin films around T_m was enhanced significantly from 18.8 K to 38.1 K. The self-induced-poling during the preparing process maybe plays a key role on the magic phenomenon. It can be concluded that the BFOLa-codoped PZT epitaxial thin films are promising candidates for application in the next solid-state cooling devices.