Multiferroic thin films are a promising class of multifunctional materials, since they allow the integration of multiple functionalities within a single device. In order to overcome the scarcity of single phase multiferroics, it is crucial to develop novel multiferroic heterostructures, combining good ferroelectric and ferromagnetic properties as well as a strong coupling between them. For this purpose, Ba2EuFeNb4O15/BaFe12O19 multiferroic magnetoelectric bilayers have been epitaxially grown on niobium doped SrTiO3 (100) single crystal substrates by pulsed laser deposition. The simultaneous presence of both ferroelectric and magnetic properties—due, respectively, to the Ba2EuFeNb4O15 and BaFe12O19 components—was demonstrated at room temperature, attesting the multiferroic nature of the heterostructure. More interestingly, a strong magnetoelectric coupling was demonstrated (i) by manipulating the ferroelectric properties via an external magnetic field, and conversely, (ii) by tuning the magnetic properties via an external electric field. This strong magnetoelectric coupling shows the high interdependence of both ferroic orders in the Ba2EuFeNb4O15/BaFe12O19 heterostructure, mediated by elastic (epitaxial) strain at the interfaces.