This work is devoted to disclosing the effect of epitaxial strain on crystallographic, transport, and nonlinear optical properties of a bilayer structure consisting of one ferroelectric (FE) (BaTiO3 with a thickness of 4 nm) and one ferromagnetic (La0.7Ca0.3MnO3 with the thickness of 12 nm) layers. Both tensile (of about ∼6% caused by the MgO substrate) and compressive (of about ∼1% caused by the SrTiO3 substrate) strains reduce the bulk metal-to-insulator phase transition temperature of the La0.7Ca0.3MnO3 layer from 240 K towards 195 K and 160 K, respectively. The appearance of the effect of colossal electroresistance, linear and nonlinear current–voltage behaviours and contribution of FE polarization switching in the BaTiO3 layer to the conductivity are associated with the influence of epitaxial strain. The predominance of the compressive over the tensile strain leads to the hysteresis behaviour of electroresistance, maximum conductivity caused by the resonant-tunnelling mechanism, and strong nonlinear optical dependence on the applied electric field.