To address the issues of high oxygen content and energy consumption in the microwave-assisted pyrolysis of biomass for biofuel production, this study used high-temperature pretreated red mud (RM) as an additive. The pretreated RM exhibited dual functionalities, namely microwave absorption and catalytic properties, during the microwave-assisted pyrolysis of cow dung (CD). This study also evaluated the optimization potential of energy recovery efficiency. The results showed that the addition of pretreated RM significantly increased the oil yield during the microwave-assisted pyrolysis of CD. The highest oil yield (59.63%) was obtained via the microwave-assisted pyrolysis of CD over catalysis with RM pretreated at 750 °C (RM750). Through the optimization of the RM750-to-CD mixing ratio, optimal oil quality and energy recovery efficiency were achieved. At a mixing ratio of 1:1, the pyrolysis oil featured the highest aromatic hydrocarbon content and lowest acid content. The high-temperature pretreatment of RM increased the Fe2O3 content, which enhanced the dielectric properties and magnetic loss ability of the reactants. This resulted in localized high temperatures and the formation of “hot spots,” which can promote the deoxygenation and hydrogenation reactions of oil. Consequently, the lower heating rate of oil increased from 35.12 to 40.11 MJ kg−1. The released oxygen escaped in the form of CO. In addition, pyrolytic char was used as an in situ microwave absorbing material owing to its increased Fe2O3 content and graphitization degree, leading to an increase in energy recovery efficiency from 4.71% to 9.98%. This study provides valuable guidance for the efficient utilization of diversified solid wastes and demonstrates the potential application of microwave-assisted pyrolysis technology in the resource utilization of solid wastes.