We have carried out a comprehensive study of a relation between the nanostructure and electromagnetic properties of the films prepared by pulse laser deposition on LaAlO₃ substrates using YBCO targets with BaZrO₃ additives. HREM studies revealed that depending on the deposition conditions BZO can precipitate as nanorods normal to the substrate or as BaYZr_xO_y nano-pancakes. BZO nanorods are formed at lower laser power and higher substrate temperature. Their lattice is rotated by 3-4° to provide matching with matrix without dislocations. In a contrary, the nano-pancakes are surrounded with a great number of dislocations. Mechanisms of the nanostructure formation have been analyzed. Embedding of a proper kind of nanoparticles into HTS films leads not only to a certain increase of the critical current density J_c but to a substantial weakening of its field and thickness dependences compared with pure YBCO films. Negative curvature of I-V-curves (in double-log scale) for YBCO (BZO) films is an evidence of strong pinning on extended defects, such as nanorods and threading dislocations, and/or collective vortex pinning.