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Let $X$ be an elliptic curve, $p\colon Y=X\times\mathbf P^1\to X$ the projection, $g\colon X\to X$ multiplication by $2$, and $f=gp$. Take a line bundle $M$ of degree $1$ on $X$. Then, $p^*M$ is trivial on the fibres of $f$. Suppose $p^*M\cong f^*L$ for some line bundle $L$ on $X$. Since $p^*$ is injective on $\mathrm{Pic}$ (see Hartshorne, Ex. III, 12.5), we have $M\cong g^*L$, but the degree of $g^*L$ is even, contradiction.