Multiferroics have broad application prospects in various fields such as multi-layer ceramic capacitors and multifunctional devices owing to their high dielectric constants and coupled magnetic and ferroelectric properties at room temperature. In this study, cobalt ferrite (CFO)/barium calcium titanate (BCT) composite fibers are prepared from BCT and CFO sols by an electrospinning method, and are then oriented by magnetic fields and sintered at high temperatures. The effects of magnetic fields and CFO contents on the nanostructures and magnetoelectric properties of the composites are investigated. Strong coupling between magnetic and ferroelectric properties occurs in CFO/BCT composites with magnetic orientation. More interestingly, the dielectric constants of CFO/BCT composites with magnetic orientation are found to be enhanced (by ∼1.5–3.5 times) as compared with those of BCT and CFO/BCT without magnetic orientation. The boost of dielectric constants of magnetic-field orientated CFO/BCT is attributed to the magneto-electrical coupling between CFO and BCT, where the polar domains of BCT are pinned by the orientated CFO. Therefore, this work not only provides a novel and effective approach in enhancing the dielectric constants of ceramic ferroelectrics, which is of tremendous value for industrial applications, but also elucidates the interaction mechanisms between ferromagnetic phase and ferroelectric phase in multiferroic compounds.