Multiferroic materials with coexisting ferroelectric and magnetic orders have attracted tremendous research interests because of their intriguing fundamental physics as well as potential applications in the next-generation multifunctional devices. Hexaferrites with conical magnetic structures are among the most promising single-phase multiferroics because strong magnetoelectric effects can be achieved in them from low temperatures up to room temperature in low magnetic fields. In this review, after briefly introducing the background on multiferroics and classification of hexaferrites, we summarize recent progress in multiferroic hexaferrites, including the mechanisms of spin-induced ferroelectricity, the magnetoelectric phase diagram, giant direct and converse magnetoelectric effects. Furthermore, we present a new mechanism of magnetic-ion-induced displacive polarization in hexaferrites, which leads to quantum paraelectricity and quantum electric-dipole liquid in M-type hexaferrites.