In the past decade, self-assembled vertical nano-heterostructures have drawn considerable attention because a high interface-to-volume ratio can be used to tailor or create functionalities. We have systematically investigated the magnetic properties of oxide heterostructures consisting of the CoFe2O4 nanopillars embedded in the BiFeO3 matrix using macroscopic magnetization measurements and element-selective soft X-ray absorption magnetic circular dichroism (XMCD) at the Co- and Fe-L2,3 edge. The magnetization and XMCD data show that the total ordered magnetic moment of Co(2+) in CoFe2O4-BiFeO3 nano-heterostructures is strongly enhanced. This study clearly indicates that the high interface-to-volume ratio vertical nanostructure creates a strong ferromagnetic and antiferromagnetic magnetic coupling via an interface. Furthermore, the magnetic coupling can be tuned in the multiferroic-ferrimagnetic self-assembled heterostructures by controlling the spacing between nanopillars.