In this review, the most relevant works in the field of composite multiferroic obtained by sol-gel methods will be presented. After a brief introduction to the topic of magnetoelectric multiferroics and the main characteristics and advantages of composites over single phase materials, several case-studies will be presented and compared, organized according to different geometries: particles embedded in a matrix, thin/thick films and other vertical heterostructures, with particular emphasis on core-shell structures. The aim of this review is to present the state-of-the-art in the field of core-shell composite obtained by sol-gel and other innovative methods, compared to traditional solid state approach. The possibility of varying several process parameters can be useful to adjust the final properties of the composites, but it can also make difficult to reproduce the same experimental conditions; in fact, sometimes contradictory results, even for similar compositions, were reported. In conclusion, a general agreement about the key parameters to be reported to characterize a multiferroic material is missing, and particular efforts have to be made to improve the dielectric properties of sintered composites