The vertically aligned BaTiO3:CoFe2O4 nanocomposites exhibit multiferroic properties above room temperature, which has been confirmed by the temperature dependent second harmonic generation (SHG) and magnetization measurements. Both magnetization and polarization were found aligned along the out-of-plane direction due to large out-of-plane lattice strain. The magnetic field dependent SHG has demonstrated the coupling between BTO and CFO components. The direct magnetoelectric (ME) coupling is investigated by using piezoresponse force microscopy (PFM) under different magnetic fields. A large longitudinal ME coefficient α31 of over 2000 mV/cm Oe is estimated by averaging the PFM amplitude change of BTO matrix upon applying magnetic fields. Phase field simulation found that the ME coupling strongly depends on the size of nanopillars. This work explored the mechanisms of magnetoelectric couplings and the coupling strength in vertically aligned metal-oxide nanocomposites.