FeCo/Al2O3 composites were prepared by mechanochemical synthesis route using a mixture of Fe2O3, Co3O4 and Al as the starting materials. FeCo alloy can be obtained in a short time in contrast to the traditional method by means of milling Fe and Co powders directly. Most FeCo/Al2O3 composites can be formed when ball milling time has achieved 15 min. As the milling time increases, the saturation magnetization (Ms: magnetic moment per unit mass) and coercive force (Hc) of FeCo/Al2O3 composites increase gradually. The FeCo/Al2O3 composites exhibit a value of Ms of 98.5 emu g−1 and Hc of 350 Oe finally. The products with ball milling time 15 min and 30 min provided better microwave absorption performances in the frequency ranges of 8.6–18 GHz and 2.5–6.5 GHz for an absorber thickness of 1.2–2.2 mm and 2.1–4.9 mm, respectively. An optimal reflection loss of −43.1 dB can be obtained at 4.1 GHz with an absorber thickness of 3.1 mm. The good microwave absorption performances result from an appropriate impedance matching due to the insulator Al2O3 dispersed around FeCo alloy.