This paper describes a novel sol–gel route for the in situ synthesis of heterostructure materials, and discusses the effects of two different pH levels on the characteristics of the raw powders and on the microstructure and electric properties of microwave-sintered PZT/CoFe2O4 (80/20) composites. The results indicate that the two pH levels evaluated here allowed for the successful production of biphasic nanocrystalline PZT/CoFe2O4 with two immiscible phases and without spurious phases. However, the synthesis performed in acid pH resulted in the formation of large self-assembled agglomerates without a well-defined structure, showing poor sinterability and inhomogeneous distribution of the two phases in the ceramic composite. In contrast, the powders synthesized in basic pH showed a more well-defined nanoparticle morphology with very small and uniform spherical particles. The microwave-sintered dense ceramic samples obtained in basic pH showed highly homogeneous distribution of the two constituent phases without percolation of the ferrite phase and, unlike the samples obtained by conventional sintering, they exhibited high electrical resistivity, confirming their greater phase integrity. This may be attributed to the adjustment of the synthesis parameters of nanocrystalline heterostructured materials prepared with PZT/CoFe2O4 raw powder, as well as the microwave sintering process, whose synergistic effect specifically improves the microstructure. The magnetoelectric response of these composites confirms their promising potential for application in multifunctional devices.