We report on the new class of inorganic nanocomposite films with the inorganic phase hosting the polymer nanofillers made by the concurrent multi-beam multi-target pulsed laser deposition of the inorganic target material and matrix assisted pulsed laser evaporation of the polymer (MBMT-PLD/MAPLE). We used the exemplary nanocomposite thermoelectric films of aluminum-doped ZnO known as AZO with the nanofillers made of poly(methyl methacrylate) known as PMMA on various substrates such as SrTiO3, sapphire, fused silica, and polyimide. The AZO target was ablated with the second harmonic (532 nm) of the Nd:YAG Q-switched laser while PMMA was evaporated from its solution in chlorobenzene frozen in liquid nitrogen with the fundamental harmonic (1064 nm) of the same laser (50 Hz pulse repetition rate). The introduction of the polymer nanofillers increased the electrical conductivity of the nanocomposite films (possibly due to the carbonization of PMMA and the creation of additional channels of electric current) three times and reduced the thermal conductivity by 1.25 times as compared to the pure AZO films. Accordingly, the increase of the thermoelectric figure-of merit ZT would be ∼ 4 times. The best performance was observed for the sapphire substrates where the films were the most uniform. The results point to a huge potential of the optimization of a broad variety of optical, opto-electronic, and solar-power nanocomposite inorganic films by the controllable introduction of the polymer nanofillers using the MBMT-PLD/MAPLE method.