In this report, the ferromagnetic shape memory alloy (Ni50Mn35In15) and Pb0.96La0.04Zr0.52Ti0.48O3 based bilayer (Ni-Mn-In/PLZT (260 nm/300 nm)), trilayer (Ni-Mn-In/PLZT/Ni-Mn-In (130 nm/300 nm/130 nm)) and four-layer (Ni-Mn-In/PLZT/Ni-Mn-In/PLZT (130 nm/150 nm/130 nm/150 nm)) multiferroic heterostructures with equal thickness ratios have been fabricated over Si substrates via DC/RF magnetron sputtering technique. The in-plane and out-of-plane magnetic hysteresis curves show the anisotropic nature of the ferromagnetic layer. The anisotropic magnetoelectric coupling characteristics have been investigated for all the fabricated devices by recording the induced magnetoelectric coupling voltages under both parallel and perpendicular applied magnetic fields to the plane of the device. Compared to all fabricated heterostructures, the trilayer structure exhibits the highest magnetoelectric coupling coefficients with 1.56 V/(cm Oe)-1 and 2.01 V/(cm Oe)-1 in longitudinal and transverse configurations, respectively. This anisotropic nature of magnetoelectric coupling can be used to measure the applied magnetic field direction. The rarely reported anisotropic AC magnetic field sensing parameters of the fabricated devices like Pearson’s r, sensitivity, and inaccuracy have been calculated. The trilayer device exhibits excellent AC magnetic field sensing parameters with inaccuracy, sensitivity, and linearity of 1.856% full-scale output (FSO), 0.63 mV cm−1 and 0.9993 in longitudinal configuration while 1.755% FSO, 1.18 mV Oe−1, and 0.9993 in the transverse configuration, respectively. Such nanoscale ferromagnetic shape memory alloys based symmetric multilayered multiferroic heterostructures pave the way for the design and development of futuristic MEMS magnetoelectric magnetic field sensor to detect the magnetic field and its spatial orientation.