Nanocomposite materials are multiphase materials with rich interfacial nanoscale features and adjustable microstructures, which are widely used in various fields. This paper describes the synthesis of FeS2 nanospheres, Co-BTC microcrystals, and FeS2/Co-BTC nanocomposite using a solvothermal method, with SEM, XRD, and other techniques characterizing their microstructure, and tests on their magnetic, ultraviolet, and wave-absorbing properties. The results show that FeS2 is composed of nanosheets of 10 to 20 nm that form spherical particles with a diameter of 1 µm,and FeS2/Co-BTC has a well-mixed composite structure. XRD results indicate that the samples are relatively pure. The magnetic experiments indicate that among the three samples, FeS2 exhibits the highest magnetic field intensity, followed by FeS2/Co-BTC. The magnetic permeability of Co-BTC can be approximated as close to zero. The absorption results indicate that FeS2 possesses strong energy storage and dissipation capabilities. FeS2/Co-BTC exhibits strong magnetic energy storage and dissipation capabilities, as well as a larger optimal absorption bandwidth. These materials demonstrate excellent electromagnetic properties suitable for electromagnetic wave absorption applications.