Thin films of colossal magnetoresistance La 0.67 Ca 0.33 MnO 3 (LCMO) (d=200+300 nm), highly conductive LaNiO 3 (LNO) (150+200 nm), double perovskite Sr 2 FeMoO 6 (SFMO) (( 70 nm) as well as LCMO/LNO bilayers were grown heteroepitaxially by dc magnetron sputtering and pulsed laser deposition on lattice-matched NdGaO 3 (100) and SrTiO 3 (100) to investigate oxygen diffusion in LCMO, LNO and SFMO. In-situ electrical resistance measurements were performed at (78÷1000) K in vacuum (P(10-4 Pa) and oxygen gas (p(10 5 Pa) by varying temperature of the films linearly with time: T(t)=T 0 ±β t. The activation energy of oxygen ion diffusion, E D , of 1.3 eV and 1.2 eV have been estimated for the LCMO and LNO films, respectively, by fitting numerical and experimental data. Unusual resistance changes of the Sr 2 FeMoO 6 thin films during their annealing in oxygen at T>500K had showed formation of high resistance regions in the vicinity of grain boundaries.