In this work, we investigated the processing-microstructure-property relationships for magnetoelectric (ME) particulate composites consisting of hard ferromagnetic CoFe2O4 (CFO) particles dispersed in a Nb-doped PbZrxTi1-xO3 (PZT) soft ferroelectric matrix. Several preparation steps, namely PZT powder calcination, PZT-CFO mixture milling and composite sintering were tailored and a range of microstructures was obtained. These included open and closed porosities up to full densification, PZT matrices with decreasing grain size across the submicron range down to the nanoscale and well dispersed CFO particles with bimodal size distributions consisting of submicron and micron sized components with varying weights. All samples could be poled under a fixed DC electric field of 4 kV/mm and the dielectric, piezoelectric and elastic coefficients were obtained and are discussed in relation to the microstructure. Remarkably, materials with nanostructured PZT matrices and open porosity showed piezoelectric charge coefficients comparable with fully dense composites with coarsened microstructure and larger voltage coefficients. Besides, the piezoelectric response of dense materials increased with the size of the CFO particles. This suggests a role of the conductive magnetic inclusions in promoting poling. Magnetoelectric coefficients were obtained and are discussed in relation to densification, piezoelectric matrix microstructure and particle size of the magnetic component. The largest magnetoelectric coefficient α33 of 1.37 mV cm−1 Oe−1 was obtained for submicron sized CFO particles, when closed porosity was reached, even if PZT grain size remained in the nanoscale.