In the present work we have synthesized xPb(Zr0.53Ti0.47)O3–(1−x) CoFe2O4 (x, weight fraction=0.0, 0.5, 0.6, 0.7, 0.8, 0.9, and 1.0) (PZT–CFO) composites by solid state synthesis. To synthesize the PZT–CFO composite, the synthesis parameters are optimized to yield a homogeneous distribution of the CFO phase in the PZT matrix. Although no chemical reaction is apparent between perovskite and spinel phases, the inter-diffusion of transition-metal cation(s) into the PZT lattice could not be avoided. The interface between the magnetic and piezoelectric phase affects the magneto-electric coupling. Through our present study, it has been demonstrated that a systematic analysis of the frequency dispersion of dielectric permittivity and loss tangent, ac conductivity, and impedance spectra in conjunction with XRD and microstructure analysis are fruitful in characterizing the nature of the interface between piezoelectric and magnetostrictive phases. Thus, the study of the nature of the interface together with the control of the interfacial reaction between the magnetostrictive and piezoelectric phases is proven to have a significant impact in tuning the elastic coupling between these two phases to design multiferroic composites with large magneto-electric coupling coefficients.