(0 0 l)-oriented Pb(Zr0.5Ti0.5)O3/CoFe2O4 (PZT/CFO) multilayer thin films were fabricated with a change in stacking periodicity. When the periodicity increased, a size effect on both ferroelectric and ferromagnetic properties was observed. This result indicates the existence of a passive layer at the PZT/CFO interface. Consequently, the magnetoelectric coupling was significantly degraded with increasing stacking periodicity. From transmission electron microscopy analysis, in addition to slight interdifussion, a highly roughened interface structure is believed to be responsible for the formation of the passive layer.