Magnetoelectric (ME) CoFe2O4–Pb(Zr,Ti)O3 composite thin films have been prepared by a sol-gel process and spin-coating technique. X-ray diffraction and scanning electron microscopy reveal that there exists local aggregation or phase separation of the CoFe2O4 and Pb(Zr,Ti)O3 phases in the films. Vibrating sample magnetometer, ferroelectric test unit, and magnetoelectric measuring device were used to characterize the magnetic and ferroelectric properties, as well as the ME effect of the films. It is shown that the films exhibit both good magnetic and ferroelectric properties, as well as a ME effect. A high initial magnetoelectric voltage coefficient for the film is observed. The ME effect of the film strongly depends on the magnetic bias and magnetic field frequency.