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Fabrication of thick YBa2Cu3Oy (YBCO) films with high critical current densities(Jc) has remained one of the major challenges in the coated conductor development process. In this work, we report successful fabrication of several multi-layer YBCO films with thicknesses ranging from 0.1 micrometers to 1.2 micrometers. The films were deposited on a single crystal substrate by using a multi-layer TFA-MOD technique. The effect of variation in the thickness of an individual layer in a multi-layer film on the overall properties of the film was studied by processing multi-layer films with individual layers of 0.1 micrometers, 0.2 micrometers and 0.5 micrometers. The Jc value for the 0.1 micrometers thick single-layer film was as high as 7 MA/cm2, and the Jc for 6-layer1.2 micrometers thick film was 1 MA/cm2 at 77 K and self field. XRD, SEM and TEM were used to study the dependence of Jc on the orientation, texture and microstructure of the film. It was found that the texture, connections between the two successive layers, porosity, and the crack formation affect the Jc of the film. In addition, we report a multi layer fabrication route with a shorter duration of the pyrolysis reaction according to the number of coats.