The aim of this work is a comprehensive study of the effect of variable atomic composition and structural-phase state of (CoFeZr)x(MgF2)100−x nanocomposites (NCs) on their nonlinear electronic and magnetic/magneto-optical properties. Micrometer-thick nanocomposite layers on the glass substrates were obtained by ion-beam sputtering of a composite target in the argon atmosphere in a wide range of compositions x = 9–51 at·%. The value of the resistive percolation threshold, xper = 34 at·%, determined from the concentration dependencies of the electrical resistance of NCs, coincides with the beginning of nucleation of metallic nanocrystals CoFeZr in MgF2 dielectric matrix. The absolute value of maximum magnetoresistance of NCs is 2.4% in a magnetic field of 5.5 kG at x = 25 at·%, up to the percolation threshold. Two maxima appear in the concentration dependencies of magneto-optical transversal Kerr effect, one of which, at x = 34 at·%, corresponds to the formation of CoFeZr alloy nanocrystals of a hexagonal structure, and the second one at x = 45 at·% corresponds to the phase transition of nanocrystals from a hexagonal to a cubic body-centered structure. The magnetic percolation threshold in (CoFeZr)x(MgF2)100−x system at xfm = 34 at·%, with the appearance of a hysteresis loop and a coercive force of Hc ≈ 8 Oe, coincides with the resistive percolation threshold xper = 34 at·%. Concentration dependence of the coercive force showed that at low contents of metallic alloy x < 30 at·%, NCs are superparamagnetic (Hc = 0). With an increase of the alloy content, in the region of magnetic and resistive percolation thresholds, NCs exhibit a magnetically soft ferromagnetic character and do not change it far beyond the percolation threshold, with the maximum value of the coercive force Hc < 30 Oe.