A magnetoelectric (ME) composite consisting of a single PZT rod embedded in a matrix of continuous Terfenol-D fiber and epoxy medium has been fabricated and characterized. With an optimized aspect ratio of the composite rods, a large ME effect has been observed. The magnetostrictive effect of the continuous Terfenol-D fiber/epoxy medium can be enhanced by imposing an optimal pre-loading stress on the material and this pre-loading stress can be induced by suitable heat treatment. Experimental results show that the ME effect of the single PZT rod/continuous Terfenol-D fiber/epoxy composites can be enhanced significantly by a post-curing process. A thermal stress-mediated continuous fiber composite model has been used to explain the ME enhancement of the post-cured composites.