Detailed structural, microstructural and magnetic measurements were performed on (PbNb2O6)1−x–(CoFe2O4)x nanocomposite thin films deposited by laser ablation on Si(001)\Pt substrates, with different cobalt ferrite concentrations. The tuning of the lead concentration, due to the lead volatility, was found to be particularly important in order to obtain the orthorhombic (ferroelectric) lead niobate phase. The lattice parameter of CoFe2O4 was below the bulk value, indicating the presence of compressive strains on this phase. A magnetic anisotropy was observed, which favored the orientation of the magnetization in the direction perpendicular to the plane of the films, for cobalt ferrite concentrations 40–50 %. The shape, stress and magnetocrystalline anisotropy fields on the composites were calculated and compared. It was found that the perpendicular magnetic anisotropy was induced by the presence of strain on the ferrite phase in the films.