The 0-3 type Na_0.5Bi_0.5TiO₃-CoFe₂O₄ (NBT-CFO) composite multiferroic ceramics with embedded structures were prepared by an in-situ sol-gel method, and its electrical and magnetic properties were studied. The crystallization behavior was studied by TG-DTA and XRD. Based on the difference between the crystallization temperatures of CFO and NBT, a two-step calcination process was designed to obtain NBT-CFO nano-powders with the average size of 45 nm. 0.9NBT-0.1CFO composite ceramics sintered using the nano-powders had embedded structures, where the CFO grains are uniformly distributed inside the NBT grains. Compared to the composite ceramics prepared by the mechanical mixing method, the 0.9NBT-0.1CFO composite ceramics with embedded structures have lower dielectric loss in 250-1M Hz at room temperature, and the loss at 250 Hz is only 30% of the former. The temperature dependent relative permittivities, impedance spectrum and mode spectrum show that composite ceramics with embedded structures exhibit dielectric relaxation behavior caused by the interfacial polarization between NBT and CFO at 350-650 ^_oC, and the activation energy is 0.77 eV. 0.9NBT-0.1CFO composite ceramics with embedded structures have the larger remanent polarization, higher breakdown strength and greater ferroelectric performances at room temperature.