The effect of the embedded nanoparticles of polymer poly (methyl methacrylate) known as PMMA on the thermoelectric properties of the films of aluminum-doped ZnO (AZO) was studied. The films were deposited at room temperature using concurrent pulsed laser deposition of AZO and matrix assisted pulsed laser evaporation of PMMA. PMMA nanoparticles were uniformly dispersed in AZO matrix and acted as additional phonon scatterers decreasing room-temperature thermal conductivity. The electrical conductivity of the nanocomposite films increased three times with respect to pure AZO film, more likely due to the conversion of PMMA in amorphous electro-conductive carbon. This could potentially lead to the increase of the thermoelectric effect by a factor between 1.5 and 3 as compared to pure AZO film. Concurrent multi-beam multi-target pulsed laser deposition method of embedding polymer nanoparticles was thus demonstrated to be useful for improving the thermoelectric properties of oxide thin films.