In this study nanocomposites consisting of an epoxy resin and ceramic zinc ferrite nanoparticles have been successfully developed and investigated morphologically and structurally by means of scanning electron microscopy (SEM) images and X-ray diffraction (XRD) spectra. The thermal properties of the nanocomposites were studied via differential scanning calorimetry (DSC) and thermogravimetric analysis (TGA). The thermomechanical characterization of the fabricated nanocomposites was studied via dynamic mechanical analysis (DMA) and the magneto-dielectric response was assessed by means of a broadband dielectric spectroscopy (BDS) and by employing a superconducting quantum interference device (SQUID) magnetometer. Data analysis demonstrates that the incorporation of nanoinclusions into the matrix improves both the thermomechanical and the dielectric properties of the systems, as indicated by the increase of the storage modulus, the real part of dielectric permittivity and conductivity values with filler content, while at the same time induces magnetic properties into the matrix. Zinc ferrite nanoparticles and their respective nanocomposites exhibit superparamagnetic behavior at room temperature. Three relaxations were recorded in the dielectric spectra of all systems; originating from the filler and the polymer matrix, namely interfacial polarization, glass to rubber transition of the polymer matrix and the reorientation of small polar side groups of the polymer chain.