Complex oxides provide an ideal playground for exploring the interplay among the fundamental degrees of freedom: structural (lattice), electronic (orbital and charge), and magnetic (spin). In thin films and heterostructures, new states of matter can emerge as a consequence of such interactions. Over the past decade, the ability to synthesize self-assembled nanocomposite thin films of metal oxides has provided another pathway for creating new interfaces and, thus, new physical phenomena. In this article, we describe examples of such materials systems explored to date and highlight the fascinating multifunctional properties achieved. These include enhanced flux pinning in superconductors, strain-enhanced ferroelectricity, strain- and charge-coupled magnetoelectrics, tunable magnetotransport, novel electrical/ionic transport, memristors, and tunable dielectrics.