A type of Galfenol-piezoelectric composite film sensor is proposed in this paper, and its nonlinear magnetoelectric coupling dynamic characteristics are discussed. Nonlinear differential terms are introduced to explain the hysteresis of Galfenol’s strain–magnetic-field- intensity (MFI) curves, and a new Galfenol’s model is established. The fitting effect of the Galfenol’s model on the experimental data is proved by the partial least-squares regression method. A nonlinear dynamic model for such a sensor subjected to a harmonic magnetic field and a stochastic electromagnetic interference has been developed, and its strongly nonlinear dynamic response is obtained by the developed Lindstedt–Poincare (L–P) method. The results of numerical simulation show that the Galfenol-piezoelectric composite film sensor has complex dynamic characteristics; the stochastic electromagnetic interference plays an important role in the system’s dynamic response. The results of this study are helpful for the optimal design and improvement of Galfenol-piezoelectric composite film sensors.