A kind of Galfenol-piezoelectric composite sensor is proposed, and its nonlinear magnetoelectric response characteristics are analyzed in this paper. New nonlinear differential terms with fractional index are proposed to explain the hysteresis of Galfenol’s strain–magnetic field intensity (MFI) curves and the piezoelectric zirconate titanate (PZT)’s displacement–voltage curves, and a nonlinear dynamic model for such a sensor under a harmonic magnetic field is developed when the electromagnetic interference (EMI) is considered. The expression of the system’s dynamic response is obtained, and its bifurcation is discussed. Finally, the simulation results are proved by experiments. The theoretical and experimental results show that the intensity of EMI plays an important role in the system’s response. These results may be helpful for the optimal design and improvement of Galfenol–piezoelectric composite sensors.