All-scale hierarchical defects induced by structural designing from unit cell to mesoscale play a significant role in oscillating and dissipating electromagnetic wave energy under external microwave radiation. To construct such all-scale hierarchical defects, hereby, high-entropy alloy nanoparticles coated by microscale carbon (HEA@C) with a core–shell structure were obtained by carbonizing Ni-Mn-Co-Cu-Al metal–organic. Thus, all-scale hierarchical defects were gained, including lattice distortion and nanotwins caused by the high entropy effect, vacancy and topological defects within carbon, and the heterojunction between high entropy nanoparticles and carbon. These all-scale hierarchical defects combined with the magnetic and conductive nature of HEA@C enable us to achieve a high electromagnetic wave absorption performance, with a reflection loss (RLmin) value of −52.36 dB and an effective absorption bandwidth (EAB) of 5.01 GHz. It implies that HEA@C should be an effective electromagnetic wave (EMW) absorber.