In this paper, vertically free-standing multiferroic CoFe₂O₄–Pb(Zr_0.52Ti_0.48)O₃ (CFO–PZT) coaxial nanotube arrays with both good ordering and high density were prepared by a template-assisted sol–gel method. X-ray diffraction (XRD) and Raman spectra confirmed that the as-prepared CFO–PZT nanotubes (NTs) included both spinel CFO and perovskite PZT phases. The multiferroic properties were demonstrated by magnetic hysteresis and piezo-response force microscopy (PFM). We also observed an effective dielectric constant of about 0.8% between increasing and decreasing magnetic field, indicating that the ordered CFO–PZT coaxial nanotube arrays may enable potential high-density magnetoelectric (ME) devices.