ZnO-Co nanocomposite thin films are synthesized by combination of pulsed laser deposition of ZnO and Co ion implantation. Both superparamagnetism and relaxor ferroelectricity as well as magnetoelectric coupling in the nanocomposites have been demonstrated. The unexpected relaxor ferroelectricity is believed to be the result of the local lattice distortion induced by the incorporation of the Co nanoparticles. Magnetoelectric coupling can be attributed to the interaction between the electric dipole moments and the magnetic moments, which are both induced by the incorporation of Co. The introduced ZnO-Co nanocomposite thin films are different from conventional strain-mediated multiferroic composites.