It is known that MgB2 thin films synthesized by using hybrid physical chemical vapor deposition (HPCVD) do not show dendritic avalanche, which is in contrast to those prepared by using pulsed laser deposition (PLD). To find the cause that makes the difference between the two cases, we studied the microscopic film structure by the scanning electron microscopy and the magnetic hysteresis by using the superconducting quantum interference device magnetometry. The critical current density (Jc), estimated from the magnetic hysteresis based on the Bean’s critical-state model, shows a much higher Jc in the PLD film than in a HPCVD film. This indicates higher vortex pinning in the PLD film. We surmise that high local joule heating beyond the high Jc in the PLD film, as a vortex penetrates into the superconducting thin film, gives a path for the next vortex and induces a positive feedback effect that is absent in the HPCVD film.