Self-assembled epitaxial oxide composite films represent a new material form in which very high-quality mesoscopic structures can be created. The main focus has been on coupled electronic devices, but so far, only a very narrow range of compositions and structure types have been explored. Insufficient attention has been paid to the very wide window of possible materials combinations or to the novel materials properties that could be induced. Both of these aspects need to be addressed before we attain mesoscale devices with new properties. In this article, we review the unique materials properties of these epitaxially directed mesoscale composite structures, discussing their very high crystallinity, structural uniformity, and orientation. We also review how the structures can be size-tuned, from ∼2 nm up to ∼50 nm, and how they can be spatially ordered. We discuss how unusual strain states can be induced in the structures, and how epitaxial stabilization of the mesoscale surfaces within the films eliminates problems of surface degradation inherent to “free” nano/mesostructures. Several exemplar systems are given to show that composite films represent an unrivaled new approach to engineering new properties into mesoscale systems.