In situ observations of ferroelectric domain structure evolution, and magnetoelectric (ME) coupling are investigated for PMN-28PT/Terfenol-D (abbreviation of Pb(Mg1/3Nb2/3)O-3-28Pb TiO3/Tb0.3Dy0.7Fe2) and PMN-33PT/Terfenol-D composites under the magnetic loadings. The composite of PMN-33PT/Terfenol-D shows stronger ME coupling than that in PMN28PT/ Terfenol-D. At a thickness of 0.10-0.12 mm for the single crystal plate, a giant magnetoelectric coefficient (aME) up to 2 V/cm.Oe is obtained for PMN-33PT/Terfenol-D at a static magnetic field of 200 Oe and 1 kHz of the alternating magnetic field. In situ domain structure observations reveal the domain morphology change during the applied magnetic loadings. In PMN-28PT, the domains are of predominantly rhombohedral (R) phase and they change into monoclinic M-A phase upon the magnetic loading via the strain transferred between Terfenol-D plate and PMN-PT single crystal. In PMN-33PT, domains of orthorhombic (O), R, and monoclinic M-C coexist and phase transitions from O to M-C and further to R phase occur upon the magnetic loading. The undulation and diversity of the domain structure makes the domains more susceptible to the magnetic loading via strain transferred between Terfenol-D plate and PMN-PT single crystal, and consequently, a strong ME coupling in the composites.