Two kinds of specimens, with the major phase of Sr3Co2Fe24O41 (Sr3Co2Z) and SrCo2Fe16O27 (SrCo2W) hexaferrites respectively, were fabricated through solid-state reaction. The phase composition, magnetic and dielectric properties, magnetodielectric (MD) effect, magnetoelectric (ME) effect and pyroelectric properties were studied. Results show that magnetic and dielectric anomalies are induced by the magnetocrystalline anisotropy (MCA) transition. They can be considered as characteristic properties (e.g., Sr3Co2Z at 370 K) but are not a sufficient condition for the MD and ME coupling. The T-block structure, existing in Sr3Co2Z but absent in SrCo2W, results in the dielectric response with ferroelectric (FE) and magnetic contributions.