High quality ZnO thin film was grown by Laser MBE. A pure ceramic ZnO target was ablated by the KrF laser pulses (248 nm, 10 Hz, 1 J/cm2) in an ultra high vacuum to deposit ZnO film on sapphire (0001) substrate. The lateral grain size was about 50 nm for the sample with thickness of 55 nm. At room temperature, the peak of the exciton absorption and the photoluminescence have the same energy. Under high density excitation (355 nm, 35 ps, 10 Hz), an exciton–exciton collision process was observed as P2 and P lines where 2S exciton and ionized exciton remain. From the edge of the sample, a very rapid increase of the P line was observed with the increase of the excitation power. A fine structure that comes from the cavity mode was also observed. These facts suggest that the lasing of the exciton was observed at room temperature.