A two-step sintering process has been adopted to synthesize Co2Z-type hexaferrite. The microstructure, density, magnetic properties and dielectric properties of the hexaferrite have been investigated and compared with those of ferrites produced by the traditional final-stage sintering process. For the sample prepared by the two-step sintering process, moderate grain size and uniform microstructure are obtained, and the density and saturation magnetization are notably improved. The stability of permeability and permittivity spectra at high frequencies is enhanced. Besides, a high quality factor Q is also achieved. The relationships among phase structure, grain size, magnetic quality factor, permeability and permittivity are systematically discussed.