The development of high-performance thermoelectric materials can help solve the energy crisis in the future. Thin-film thermoelectric materials can meet the requirement for flexibility of wearable devices while supplying electrical power to them. In this study, high-quality Nb-doped SrTiO₃ films (Nb:STO) with different thickness are prepared on SrTiO₃ (STO) and La_0.3Sr_0.7Al_0.65Ta_0.35O₃ (LSAT) substrates by pulsed laser deposition. The surface morphologies, crystal structures, and thermoelectric performances of the films are characterized. The results show that the thermoelectric performance of the strain-free film increase with thickness increasing. The power factor at room temperature increases by 187%. The Seebeck coefficient of the 144 nm-thick Nb:STO/LSAT sample with strain is greatly improved to 265.95\;\textμ\rmV/\rmK at room temperature, which is likely to be due to the strain induced changes in the energy band of the thin film. The improvement of the thermoelectric performances of Nb:STO thin films by strain engineering provides a new approach to improving the thermoelectric properties of oxide thin films.