CoFe2O4-Pb(Zr0.53Ti0.47)O-3 (CFO-PZT) multiferroic composite thick films sandwiched by PZT composite films were prepared by sol-gel processing and spin-coating technique. It is shown that although the deeply buried CoFe2O4 spinel ferrite phase could not be detected in X-ray diffraction patterns, the stable magnetic properties of films confirm its existence in the films. In addition, EDX results also detected CoFe2O4 composite from the cross section of thick films but was not observed on its surface. The structure of CFO-PZT composite thick films could be made denser by introducing enough PZT sol-gel for infiltration after each coated, composite layer and ferroelectric and dielectric properties of composite thick films were, hence, improved remarkably with stable magnetic properties. All the improvements were attributed to the optimized dense microstructure for CFO-PZT composite films.