The 3d-4f exchange interaction plays an important role in many lanthanide based molecular magnetic materials such as single-molecule magnets and magnetic refrigerants. In this work, we study the 3d-4f magnetic exchange interactions in a series of Cu(II)-Gd(III) (3d(9)-4f(7)) dinuclear complexes based on the numerical atomic basis-norm-conserving pseudopotential method and density functional theory plus the Hubbard U correction approach (DFT+U). We obtain improved description of the 4f electrons by including the semicore 5s5p states in the valence part of the Gd-pseudopotential. The Hubbard U correction is employed to treat the strongly correlated Cu-3d and Gd-4f electrons, which significantly improve the agreement of the predicted exchange constants, J, with experiment, indicating the importance of accurate description of the local Coulomb correlation. The high efficiency of the DFT+U approach enables us to perform calculations with molecular crystals, which in general improve the agreement between theory and experiment, achieving a mean absolute error smaller than 2 cm(-1). In addition, through analyzing the physical effects of U, we identify two magnetic exchange pathways. One is ferromagnetic and involves an interaction between the Cu-3d, O-2p (bridge ligand), and the majority-spin Gd-5d orbitals. The other one is antiferromagnetic and involves Cu-3d, O-2p, and the empty minority-spin Gd-4f orbitals, which is suppressed by the planar Cu-O-O-Gd structure. This study demonstrates the accuracy of the DFT+U method for evaluating the 3d-4f exchange interactions, provides a better understanding of the exchange mechanism in the Cu(II)-Gd(III) complexes, and paves the way for exploiting the magnetic properties of the 3d-4f compounds containing lanthanides other than Gd.