AbstractFabricating a thermo‐electro‐magnetic material that exhibits simultaneously excellent magnetocaloric (MC) and thermoelectric (TE) performance is challenging since the interfacial reaction causes severe deterioration of MC and TE performance. In this work, a construction of multi‐scale interfaces in LaFe10.4Co0.8Si1.8/Bi0.5Sb1.5Te3 (LFS/BST) composites is realized by adopting a low‐temperature high‐pressure sintering strategy. It is revealed in the atomic‐scale that the interfacial reaction between LFS and BST leads to the formation of (Fe,Co)(Sb,Te)2 micro‐grains and LaTe2 nano‐grains, and the latter form low‐mismatch phase boundaries with LFS matrix. Benefiting from the multi‐scale interfacial phases, excellent MC performance of LFS is preserved alongside a minor impact on TE properties, e.g., a peak zT of 1.04 and a small decrease of 3.0% in relative cooling power are achieved in the 2%LFS/BST composite. Compared with other thermo‐electro‐magnetic materials, a good trade‐off between MC and TE performance is realized in LFS/BST composites with simultaneously high MC and TE performance. The 20%LFS/BST composite exhibits a room‐temperature zT of 0.46 with large maximum magnetic entropy change and relative cooling power of 0.81 J kg−1 K−1 and 44.83 J kg−1, respectively. This work provides an effective material design for developing the all‐solid‐state MC/TE hybrid refrigeration technique.