We report on the magnetoelectric characterization of epitaxial CoFe2O4–BaTiO3 nanocomposites grown by rf sputtering on Nb-doped SrTiO3 (001). Multiferroicity of the material is corroborated with both, ferroelectric and ferromagnetic hysteresis loops. Magnetoelectric coupling is investigated via magnetocapacitance measurements; a change of the capacitance of about 2% is observed for an applied magnetic field of 8 T. The possible origins of this magnetocapacitance are discussed.