Advances in nanotechnology require of robust methods to fabricate new types of nanostructured materials whose properties can be controlled at will using simple procedures. Nanoscale composites can benefit from actuation protocols that involve mutual interfacial interactions on the nanoscale. Herein, a method to create nanoscale composite thin films consisting of mesoporous cobalt ferrite (CFO) whose pore walls are nanocoated with HfO2 is presented. Porous CFO films are first prepared by sol-gel. Atomic layer deposition is subsequently used to conformally grow a HfO2 layer at the surface of the pore walls, throughout the thickness of the films. The magnetic properties of uncoated and HfO2-coated CFO mesoporous films are then modulated by applying external voltage, via magneto-ionic effects. The CFO-HfO2 composite films exhibit an enhanced magnetoelectric response. The magnetic moment at saturation of the composite increases 56% upon the application of −50 V (compared to 24% for CFO alone). Furthermore, dissimilar trends in coercivity are observed: after applying −50 V, the coercivity of the composite film increases by 69% while the coercivity of the CFO alone decreases by 25%. The effects can be reversed applying suitable positive voltages. This two-oxide nanocomposite material differs from archetypical magneto-ionic architectures, in which voltage-driven ion migration is induced between fully-metallic and oxide counterparts. The synthesized material is particularly appealing to develop new types of magnetoelectric devices with a highly tunable magnetic response.