The aim of this work is to fabricate an all‐oxide spin valve using multiferroic BiFeO3 as the antiferromagnetic pinning layer, in the hope that we may be able to switch magnetoresistance electrically. The proposed architecture is Zn0.7Ni0.3Fe2O4/ Sr1–xLaxTiO3/ Zn0.7Ni0.3Fe2O4/ BiFeO3/ LaNiO3/SrTiO3. We have demonstrated that such a multilayer structure can be grown epitaxially by the RF magnetron sputtering. X‐ray diffraction showed that the films were indeed biaxially aligned with reasonable in‐plane and out‐of‐plane textures, under the growth conditions optimised for achieving good ferroelectric and magnetic properties. X‐ray photoelectron spectroscopy depth profiling showed that there was significant Bi diffusion across the interface if the BiFeO3 film was not stabilised in high oxygen ambience after deposition. High‐resolution transmission electron microscopy showed a tidy and sharp Zn0.7Ni0.3Fe2O4/ BiFeO3 boundary for the Zn0.7Ni0.3Fe2O4 films grown at 550 °C, while for the films grown at higher temperature an irregular interface was observed. Under the optimum growth condition, a clear exchange bias was achieved at the Zn0.7Ni0.3Fe2O4/ BiFeO3 interface. Copyright © 2011 John Wiley & Sons, Ltd.