Sr(NO3)2, Fe(NO3)3 and citric acid (the mole ratio was 1:1:2) were mixed in water to form sol. Alumina substrate, which had been treated by ultrasonic cleaner, were dipped in the sol and pulled out, and the coating film was heated for 1h at 900oC. Through seventeen times treatment, SrFeO3-d thin film was coated on the alumina substrate. The remainder sol was dried and heated at 400oC, 800oC, 900oC for 2 h. The thin films and the powders were characterized by XRD. The morphologies of thin films were observed by SEM. The results showed that SrFeO3-δ was formed at 900oC on alumina substrate and the grain size was 100 ~ 200 nm. The oxygen sensitivity was measured in the temperature range of 377 ~ 577oC under different oxygen partial pressures. SrFeO3-δ thin film showed p-type conduction. The response time was less than 2 min when being exposed to a change from N2 to 0.466% O2 at 377oC.