Different from other processes intending to induce selective nucleation in CoFe₂O₄–BiFeO₃ (CFO–BFO) immiscible multiferroic nanocomposites, a reverse way to get phase ordered CFO–BFO nanostructure was demonstrated. With dimension confinement in the BFO perovskite phase, distribution of the CFO spinel phase was modulated; a highly ordered core–shell CFO–BFO structure was obtained. Room temperature ferroelectricity, magnetism, and magnetoelectric coupling of the as-obtained sample were characterized. These results may help to shed new light on the phase ordered separation process in immiscible systems and build more heterostructures for magnetoelectric coupling applications.