The FePt：MgO multi-layer nanocomposite thin films are deposited on MgO (100) substrates by using pulsed laser deposition method. The composition of FePt is Fe48Pt52. FePt nanoparticles (NPs) are embedded in MgO epitaxial layer periodically. The results of in-situ reflection high energy electron diffraction show that MgO epitaxial layers grow into the layer-by-layer mode and FePt NPs grow into the island mode. The alternation of the two growth modes is achieved in the whole deposition process. The high resolution transmission electron microscope results show that the phase of FePt is converted from the disordered face-centered cubic structure into the ordered face-centered tetragonal L10 structure after annealing. The perfect crystalline FePt NPs (around 5 nm in diameter) are flat-hexagonal in shape and array layer by layer on MgO matrix. The M-H loop of the film shows that the ordering degree and magnetism are enhanced after annealing.