Nickel-based complex oxides have served as a playground for decades in the quest for a copper-oxide analog of the high-temperature (high-Tc) superconductivity. They may provide key points towards understanding the mechanism of the high-Tc and an alternative route for a room-temperature superconductor. The recent discovery of superconductivity in the infinite-layer nickelate thin films has put this pursuit to an end. Having complete control in material preparation and a full understanding of the properties and electronic structures becomes the center of gravity of current research in nickelates. Thus far, material synthesis remains challenging. The demonstration of perfect diamagnetism is still missing, and understanding the role of the interface and bulk to the superconducting properties is still lacking. Here, we synthesized high-quality Nd0.8Sr0.2NiO2 thin films with different thicknesses and investigated the interface and strain effects on the electrical, magnetic and optical properties. The perfect diamagnetism is demonstrated, confirming the occurrence of superconductivity in the thin films. Unlike the thick films in which the normal state Hall coefficient (RH) changes signs from negative to positive as the temperature decreases, the RH of the films thinner than 6.1-nm remains negative at the whole temperature range below 300 K, suggesting a thickness-driven band structure modification. The X-ray spectroscopy reveals the Ni-O hybridization nature in doped finite-layer nickelates, and the hybridization is enhanced as the thickness decreases. Consistent with band structure calculations on nickelate/SrTiO3 interfaces, the interface and strain effect induce the dominating electron-like band in the ultrathin film, thus causing the sign-change of the RH.