We present electric and magnetic properties of 0.8Pb(Fe1/2Nb1/2)O3-0.2Pb(Mg1/2W1/2)O3 films epitaxially grown on (001) SrTiO3 substrates using pulsed laser deposition. A narrow deposition window around 710 oC and 0.2 mbar has been identified to achieve epitaxial single-phase thin films. A typical Vogel-Fulcher relaxor-like dielectric and magnetic susceptibility dispersion is observed, suggesting magnetoelectric relaxor behavior in these films similar to the bulk. We determine a magnetic cluster freezing temperature of 36 K, while observing weak ferromagnetism via magnetic hysteresis loops up to 300 K.