A giant electrocaloric effect is reported in (Pb0.97La0.02)(Zr0.95Ti0.05)O3 anti-ferroelectric ceramics. These samples were fabricated by a solid-state mixed oxide technique. Dielectric analyses were employed to investigate the anti-ferroelectric (AFE) and ferroelectric (FE) phase transitions of the sample. During the heating process, the phase transition from the orthorhombic anti-ferroelectric phase (AFEO) to the tetragonal anti-ferroelectric phase (AFET) occurs at 155 °C, and the phase transition from AFET to PE occurs at 225 °C. Using the Maxwell relationship, the entropy change ΔS and adiabatic temperature change ΔT were obtained at different electric fields ranging from 40 to 65 kV/cm. The maximum adiabatic temperature change (ΔT max = -7.47 K) was obtained at 50 kV/cm, which was attributed to the field-induced phase transformation between the anti-ferroelectric and ferroelectric phases. These results showed that PLZT2/95/5 ceramics possess a large negative electrocaloric effect value, which could be applied in achieving cooling power as refrigerants.