Multiferroic CoFe2O4–Pb(Zr,Ti)O3 (CFO-PZT) composite films with nanoscale mixture of the two phases were prepared by a modified sol-gel process, in which a mixed precursor solution of both CFO and PZT was used. X-ray diffraction and transmission electron microscopy examinations revealed the coexistence of perovskite PZT and spinel CFO that were mixed in nanoscale with mean grain sizes of 5–10 nm. Magnetic properties of the CFO-PZT nanocomposite were examined, which were consistent with their microstructures. The magnetoelectric coupling between CFO and PZT was demonstrated by an external magnetic field induced electric polarization change. This modified sol-gel processing provides an alternative for multiferroic composite films, which is simpler and easier to control compared to the conventional layer-layer sol-gel process for multiferroic composite films.