We report on epitaxial growth of single-phase [Pb(Zr0.57Ti0.43)O3]0.8[Pb(Fe2/3W1/3)O3]0.2 (PZT-PFW) solid-solution thin films using pulsed laser deposition. X-ray diffraction measurements reveal that the films have a tetragonal structure. The films exhibit ferroelectric properties and weak ferromagnetic responses at room temperature. Magnetoelectric effects were investigated; the nonlinear magnetoelectric coefficient was measured and found to be comparable to those of multiferroic hexagonal manganites, but at least two orders of magnitude smaller than that for polycrystalline PZT-PFW films.