You can prove rules regarding composition of odd and even functions straight from the definitions. A function $f: \mathbb{R} \rightarrow \mathbb{R}$ is even if $f(-x)=f(x)$ for all $x$; it is odd if $f(-x)=-f(x)$ for all $x$. Now consider $f$ odd and $g$ even: $f\circ g(-x)=f(g(-x))=f(g(x)),$ since $g$ is even.
But, by definition, $f(g(x))=f\circ g(x)$, so $f \circ g$ is even.
A similar proof shows that $g \circ f$ is even.
It is certainly not true that the composition of any two functions will be even. Take $f$ defined by $f(x)=x+1$, and $g(x)=x+4$. Then $g\circ f(-x) = g(-x+4)=-x+5$, while $g \circ f(x)=x+5$.
As a notational aside, note that $f(x)$ is not a function, but rather the value of the function $f$ on a particular element $x$. A function from the real numbers to the real numbers is is a rule that assigns to each real number $x$ another number, which we write as $f(x)$. So it doesn't make sense to talk about the value $f(x)$ being odd or even -- being even and odd is a property of the rule, the function itself.
This is a common confusion, especially since it's common to refer to "the function $f(x)=x^2$" -- that is, to identify a function with a particular formula. It would be more precise to refer to "the $f: \mathbb{R} \rightarrow \mathbb{R}$ defined by $f(x)=x^2$ for all $x \in \mathbb{R}$," but as you can see it's more cumbersome.