Multiferroic materials exhibit unique properties such as simultaneous existence of two or more of coupled ferroic order parameters (ferromagnetism, ferroelectricity, ferroelasticity or their anti-ferroic counterparts) in a single material. Recent years have seen a huge research interest in multiferroic materials for their potential application as high density non-volatile memory devices. However, the scarcity of these materials in single phase and the weak coupling of their ferroic components have directed the research towards multiferroic heterostructures. These systems operate by coupling the magnetic and electric properties of two materials, generally a ferromagnetic material and a ferroelectric material via strain. In this work, horizontal heterostructures of composite multiferroic materials were grown and characterized using pulsed laser ablation technique. Alternate magnetic and ferroelectric layers of cobalt ferrite and lead zirconium titanate, respectively, were fabricated and the coupling effect was studied by X-ray stress analysis. It was observed that the interfacial stress played an important role in the coupling effect between the phases. Doped zinc oxide (ZnO) heterostructures were also studied where the ferromagnetic phase was a layer of manganese doped ZnO and the ferroelectric phase was a layer of vanadium doped ZnO. For the first time, a clear evidence of possible room temperature magneto-elastic coupling was observed in these heterostructures. This work provides new insight into the stress mediated coupling mechanisms in composite multiferroics.