Magnetic fly ash (MFA) solid waste used as electromagnetic wave (EMW) absorbers has attracted considerable attention, due to its easy recovery, stable physicochemical property, and magnetic property. However, the single loss mechanism and narrow absorption frequency band of magnetic absorption materials, limit the improvement of absorption performance. In this study, MFA@carbon (MFA@C) microspheres with tunable microstructure are directly synthesized, by adjusting the heart treatment temperature of chemical vapor deposition process. The optimization of the absorption properties is realized, and the absorption mechanism of the MFA@C microspheres is analyzed and discussed. In addition, the optimal reaction temperature of the MFA@C microspheres is 700 °C. When the thickness is 2.9 mm, the reflection loss of the MFA@C microspheres is up to −49.6 dB, and the effective absorption bandwidth is 4.6 GHz. The results show that the excellent EMW absorption ability of the MFA@C microspheres is attributed to the synergistic absorption of carbon and MFA. The unique cluster structure of MFA@C microspheres enhances the multiple reflections and promotes the interfacial polarization.