Magnetic susceptibility, specific heat, dielectric, and electric polarization of LiCuFe2(VO4)3 have been investigated. Two sequential antiferromagnetic transitions at TN1 ∼ 9.95 K and TN2 ∼ 8.17 K are observed under zero magnetic field. Although a dielectric peak at TN1 is clearly identified, the measured pyroelectric current also exhibits a sharp peak at TN1, implying the magnetically relevant ferroelectricity. Interestingly, another pyroelectric peak around TN2 with an opposite signal is observed, resulting in the disappearance of electric polarization below TN2. Besides, the electric polarization is significantly suppressed in response to external magnetic field, evidencing a remarkable magnetoelectric effect. These results suggest the essential relevance of the magnetic structure with the ferroelectricity in LiCuFe2(VO4)3, deserving further investigation of the underlying mechanism.