In the present paper, cobalt films, chromium and cobalt double layer films, and silver and cobalt double layer films were deposited by magnetron sputtering technique. The transient reflectivity response in cobalt thin films and their double layer films was studied by using femtosecond laser pump-probe transient reflection experimental technology. The result shows that, under the condition of the cobalt films of the same thickness, when the pump power increases, the heating time of the electrons in cobalt thin films is independent of the pump power, and is 0.134 4 ps. And for the cobalt films of different thickness, the electron thermalization time is directly related to the film thickness. In addition, when the laser pulse power is high enough, two or three transient reflectivity decline signals on glass substrate films are found which is different with previous researches, when the cobalt films were thin, there are three times of transient reflectivity abruptly decline signals, and when the cobalt films were thick, there are two times of transient reflectivity abruptly decline signals, so the thickness of the cobalt films determines the times of the changes of the ultrafast dynamics in cobalt films.