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The nucleation process of graphene films prepared by pulsed laser deposition has been investigated in detail. It is found that graphene nucleates at the steps on the substrate surface firstly, from aggregation of nuclei into particles. High pulsed laser energy offers large incident energy for carbon particles deposited on the surface of the substrate, which is beneficial to the nucleation of graphene. A lot of steps are formed on the copper substrate due to the high temperature, so that the high incident energetic carbon species are able to form a stable nucleus at the steps. As the incident particles increases, the graphene nuclei are combined to grow together. Further, it is found that graphene tends to form few layer graphene particles instead of large graphene sheets.