MgB2 thin films have been coated on Nb substrates without any buffer layers. An in situ pulsed laser deposition (PLD) method was used to prepare the coating. The interface between films and substrates has been characterized by scanning electron microscopy (SEM). Surface impedance has been measured for the MgB2 films on Nb substrates. The results were discussed with regard to the potential large scale applications in superconducting RF cavities.