Self-assembled multiferroic nanostructures with controllable morphologies are obtained by varying the stress state in epitaxial composite films containing ferrimagnetic CoFe2O4 and ferroelectric PbTiO3. The stress state can be controlled by using different substrate orientations and phase fractions. The figure shows the transition from CoFe2O4 magnetic nanorods embedded in a ferroelectric PbTiO3 matrix (a) to PbTiO3 ferroelectric nanorods in a CoFe2O4 matrix (b).