The existence and feasibility of the multicaloric, polycrystalline material 0.8Pb(Fe1/2Nb1/2)O3-0.2Pb(Mg1/2W1/2)O3, exhibiting magnetocaloric and electrocaloric properties, are demonstrated. Both the electrocaloric and magnetocaloric effects are observed over a broad temperature range below room temperature. The maximum magnetocaloric temperature change of ~0.26 K is obtained with a magnetic-field amplitude of 70 kOe at a temperature of 5 K, while the maximum electrocaloric temperature change of ~0.25 K is obtained with an electric-field amplitude of 60 kV/cm at a temperature of 180 K. The material allows a multicaloric cooling mode or a separate caloric-modes operation depending on the origin of the external field and the temperature at which the field is applied.