Magnetoelectric composites and heterostructures integrate magnetic and dielectric materials to produce new functionalities, e.g., magnetoelectric responses that are absent in each of the constituent materials but emerge through the coupling between magnetic order in the magnetic material and electric order in the dielectric material. The magnetoelectric coupling in these composites and heterostructures is typically achieved through the exchange of magnetic, electric, or/and elastic energy across the interfaces between the different constituent materials, and the coupling effect is measured by the degree of conversion between magnetic and electric energy in the absence of an electric current. The strength of magnetoelectric coupling can be tailored by choosing suited materials for each constituent and by geometrical and microstructural designs. In this article, we discuss recent progresses on the understanding of magnetoelectric coupling mechanisms and the design of magnetoelectric heterostructures guided by theory and computation. We outline a number of unsolved issues concerning magnetoelectric heterostructures. We compile a relatively comprehensive experimental dataset on the magnetoelecric coupling coefficients in both bulk and thin-film magnetoelectric composites and offer a perspective on the data-driven computational design of magnetoelectric composites at the mesoscale microstructure level.