We study the Kondo screening of a spin-1/2 magnetic impurity coupled to a superconductor, which is fabricated by the combination of an s-wave superconductor, a ferromagnet and a semiconductor with Rashba spin-orbit coupling (RSOC). The proximity induced superconducting states include the s-wave and p-wave pairing components with the aids of RSOC, and the ferromagnet induces a Zeeman field which removes the spin degeneracy of the quasiparticles in the triplet states. Thus, the Kondo screening of magnetic impurity involves the orbital degrees of freedom, and is also affected by the Zeeman field. By using the variational method, we calculate the binding energy and the spin-spin correlation between the magnetic impurity and the electrons in the co-existing s-wave and p-wave pairing states. We find that Kondo singlet forms more easily with stronger RSOC, but Zeeman field in general decreases the binding energy. The spin-spin correlation decays fast in the vicinity of the magnetic impurity. Due to the RSOC, the spatial spin-spin correlation becomes highly anisotropic, and the Zeeman field can induce extra asymmetry to the off-diagonal components of the spin-spin correlation. Our study can offer some insights into the studies of extrinsic topological superconductors fabricated from the hybrid structures containing chains of magnetic impurities.