I had a read of the article posted by Enthusiast. The security context in my case is not an issue. However the article reminds me that when I ran the package from my machine, which worked was actually ran on my machine, not the server. When schedualed to a job, it ran on server which failed at the step Transfer SQL Objects. This step has a cript file directory which was based on my machine. So I changed the directory path according to the SQL installation on the server, and it's worked.

Thanks Enthusiast.

YQ