Magnesium diboride, MgB2, thin films are fabricated through two different kinds of process. One is an in-situ process by using electron beam deposition and the other is an ex-situ process by using the combination of pulsed laser deposition and heat treatment. The critical current density, Jc is investigated as a function of external magnetic field in the range of 0–7 T and/or temperatures ranging from 4.2 K to the critical temperature by using dc 4-probe transport method. The in-situ processed film shows very high Jc, e.g., 7.1 x 102, 1.2 x 106, and 1.4 x 105 A/cm2 in 0, 4, and 7 T (perpendicular fields), respectively. Angular dependence of Jc is much different between the two kinds of films. Jc-angle (magnetic field) curves of the in-situ processed film show two peaks; one is around the field perpendicular to the film surface and the other is around the parallel field. On the contrary, the curves of the ex-situ processed film have only one peak around the parallel field. Microstructure analyses show that the in-situ film has columnar grains aligned perpendicular to the film surface and that the ex-situ one has granular grains with random orientations. These results indicate that the grain boundaries between columnar grains act as effective pinning centers and enhance Jc in the perpendicular fields.