We deposited epitaxial BiFeO3–CoFe2O4 (BFO–CFO) self‐assembled thin films on (001) SrTiO3 (STO) substrates. We find that a combined annealing and etching process could remove the BFO matrix, thereby resulting in free‐standing CFO nanopillar arrays. Scanning electron and atomic force microscopies showed well separated CFO nanopillars, which were very similar to the original CFO ones in the self‐assembled structure. Finally, comparison of the magnetic hysteresis loops before and after removal of the BFO matrix showed a significant decrease of the coercive field and a dramatic decrease in the strain dominated magnetic anisotropy. (© 2012 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)