Core shell structured magnetoelectric multiferroics have attracted great attentions due to their improved multiferroic properties and potential applications. In this paper, CoFe2O4 @BaTiO3 core shell structured composites with different core size were prepared by hydrothermal method and the effect of core size on the microstructure and multiferroic properties have been systematically studied. The results indicate that with the decrease of the core size, the dielectric, ferroelectric properties as well as the magnetoelectric coupling effect were increased dramatically. Improved interface area and the perfect distribution of CoFe2O4 particles into BaTiO3 matrix are ascribed to be the result of this enhancement of magnetoelectric properties. Our result may shield light on the improvement of multiferroic properties for composite multiferroic materials.