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The antiferromagnetic structure in the S = 1/2 zigzag spin chain compound CoSe2O5 was recently revealed by neutron scattering. Herein, we provide clear evidence for the linear ME coupling through systematic investigations on magnetic, dielectric, and ferroelectric properties. The simultaneous responses of the b-axis electric polarization (Pb) and dielectric anomaly (εb) against magnetic stimuli along the c-axis are revealed. In addition, both the ferroelectric transition and dielectric anomaly shift from the magnetic Néel temperature TN ∼ 8.5 K toward the low temperature under increasing H applied along the c-axis, providing clear evidence for the magnetism-driven ferroelectricity. The observed off diagonal linear ME effect is in accordance with the prediction based on ME tensor analysis for the magnetic space group Pb′cn. Consequently, our results may allow an interesting opportunity to further exploration of intriguing phenomena and physics of ferrotoroidicity in this linear-ME compound CoSe2O5 due to the existence of the off diagonal term in the ME tensor, similar to the case for LiCoPO4. [ABSTRACT FROM AUTHOR]