A giant magnetoresistance effect (∼46% at 20 K under 7 T) and anomalous magnetic properties were found in a highly epitaxial double perovskite LaBaCo2O5.5+δ (LBCO) thin film on (001) MgO. Aberration-corrected Electron Microscopy and related analytical techniques were employed to understand the nature of these unusual physical properties. The as-grown film is epitaxial with the c-axis of the LBCO structure lying in the film plane and with an interface relationship given by (100)LBCO || (001)MgO and [001]LBCO || [100]MgO or [010]MgO. Orderly oxygen vacancies were observed by line profile electron energy loss spectroscopy and by atomic resolution imaging. Especially, oxygen vacancy and nanodomain structures were found to have a crucial effect on the electronic transport and magnetic properties.