Multiferroic composite thin films prepared from ferrimagnetic zinc ferrite (ZFO) and ferroelectric barium titanate (BTO) show sizable magnetic exchange bias. After field cooling in +3 T, an exchange-bias field of about −37 mT for a 65% ZFO/35% BTO and of about −34 mT for a 35% ZFO/65% BTO composite is observed at 10 K. Exchange biasing is accompanied by a significant vertical loop shift of about 10% of the total saturation magnetization after field cooling in 3 T. The composite films show simultaneous ferromagnetic, ferroelectric and magnetocapacitance effects. Depending on the ZFO to BTO ratio of the target for pulsed laser deposition, the composite films show either preferential spinel- or perovskite-like X-ray diffraction patterns. Raman spectra of the composites are dominated by broadened peaks at positions near the phase-pure BTO or doped ZFO. The composite films show nm-size amorphous precipitates in a ZFO-like matrix, which are most probably responsible for the observed exchange bias effects.