Fiber laser welding is an effective and reliable technology for thin-walled structures with intensive welds, which are important structures in aerospace, ship, and rail traffic, etc. However, welding of such structures is challenging owing to welding deformation and dimensional shrinkage. High-frequency peening was conducted during welding to perform related experiments. Thereafter, the effects of the method on weld morphology, surface stress, welding formation, and dimensional shrinkage were systematically studied. A self-built experimental platform was used to simulate the welding of a thin-walled structure with intensive welds. Further, the optimal peening position was obtained in the high-temperature weld zone in the trailing end of a molten pool. For the GH3128 high-temperature alloy thin plate, the method could adjust the longitudinal residual stress of the weld without peening during welding from the average value of 390.9 MPa to 116.1 MPa, showing a 70% reduction. Moreover, this method could reduce the warpage deformation of the component perpendicular to the weld direction by 74.5% and the dimensional shrinkage along the weld direction by 80%. Moreover, for the multi-pass welding of cylindrical thin-walled 06Cr19Ni10, the dimensional shrinkage was reduced from 0.95 mm (without peening) to 0.29 mm (with peening during welding).