Quantum state transfer between microwave and optical frequencies is essential for connecting superconducting quantum circuits to coherent optical systems and extending microwave quantum networks over long distances. To build such a hybrid `quantum Internet, an important experiment in the quantum regime is to entangle microwave and optical modes. Based on the model of a generic cavity electro-optomechanical system, we present a heralded scheme to generate entangled microwave--optical photon pairs, which can bypass the efficiency threshold for quantum channel capacity in direct transfer protocols. The parameter regime for entanglement verification is identified that is compatible with realistic experimental settings. Our scheme is feasible given the latest experimental progress on electro-optomechanics, and can be potentially generalized to various physical systems.