Multilayer BaTiO3/CoFe2O4 thin films are prepared via a chemical solution deposition method with and without magnetic annealing, respectively. The microstructural, magnetic, dielectric and ferroelectric properties of the films’ are investigated. The dielectric constant, polarization and magnetization of the multilayer thin films are improved with magnetic annealing. Moreover, for the magnetic annealing films, the saturation magnetization measured with the measuring magnetic field vertical to the film surface is much higher than that measured with the field parallel to the film surface. These novel phenomena may be caused by the decrease in the clamping of the BaTiO3 layer and the arrangement of the induced easy axis in the CoFe2O4 layer caused by the applied annealing field.