Fully spinel epitaxial Fe3O4/Co3O4 heterostructures were fabricated on the MgAl2O4 substrates by reactive magnetron sputtering, and the interfacial structure, magnetic and optical-electric properties were investigated. An interfacial CoxFe3-xO4 layer with a thickness of similar to 7 nm is formed between the Fe3O4 and Co(3)O(4 )layers through the interdiffusion. The interfacial Co(x)Fe(3-x)O(4 )enhances the coercivity of the Fe3O4/Co(3)O(4 )heterostructures. The interfacial coupling between the ferromagnetic CoxFe3-xO4 and the antiferromagnetic Co3O4 also induces large exchange bias due to pinning effect. In addition, based on the strong optical absorption of the Co3O4 layer, the enhanced current (similar to 79%) is achieved in the Fe3O4/Co3O4 heterostructures under irradiation of the 405-nm laser. Our work helps to understand the interfacial diffusion of the heterostructures, and reveals that the Fe3O4/Co3O4 heterostructures can be used in optical, electrical and magnetic multifunctional devices.