Multiferroic Pb(Zr,Ti)O-3-CoFe2O4 (PZT-CFO) bilayer films with different residual stress status and oriented PZT layers were prepared on (111)Pt/Si substrate via a simple sol-gel spin-coating processing. Different heat-treatment processing resulted in different orientation growth of the PZT layer and stress status in the bilayer films, which affects the magnetoelectric (ME) coupling of the PZT-CFO bilayer films. Both the magnetic-field-induced shifts in the phonon vibration modes and the direct ME coupling effect observed in these bilayer films demonstrate stress-mediated ME coupling mechanism in the multiferroic bilayer films.