The invention provides a Bi1-xRExFeO3/CoFe2O4 multiferroic composite membrane and a preparation method thereof. The composite membrane comprises a Bi1-xRExFeO3 crystalline state membrane and a CoFe2O4 crystalline state membrane which are combined together, wherein RE is Ce, Pr, Tb, Eu or Yb, x is equal to 0.05-0.15; in the preparation, Bi1-xRExFeO3 precursor solution and CoFe2O4 precursor solution are firstly prepared respectively; and then, multi-layer CoFe2O4 membrane is prepared by spinning on a substrate, and the multi-layer Bi1-xRExFeO3 membrane is prepared by spinning on the CoFe2O4 membrane, so the target product is obtained. The facility request is simple, the homogeneity of the prepared membrane is good, the chemical composition can be accurately controlled, the doping content is easily controlled, and the ferroelectric property and ferromagnetic property of the membrane are greatly improved, so the Bi1-xRExFeO3/CoFe2O4 multiferroic composite membrane has high residual polarization value and residual magnetization value.