Oil spills necessitate the development of effective methods for preventing their damaging effects on the environment. A number of physical, chemical, thermal, and biological methods are used to combat oil spills. Among them, sorption is considered to be efficient in removing thin oil films from water surfaces. Currently, there is an urgent need for simple methods of obtaining oil sorbents that include a magnetosensitive component to optimize the process of removing oil from the water surface. The purpose of the work is to obtain and research oil sorbents resistant to destruction, with increased bulk density and complex magnetosensitivity, based on thermally expanded graphite (TEG) with the inclusion of micro- and nano-particles of iron and its oxides. The structure and composition of the new composite material was characterized using scanning electron microscopy, energy dispersive X-ray analysis, X-ray diffractometry, thermogravimetric analysis, and laser diffraction particle sizing. The composite sorbent comprised TEG with the inclusion of iron-containing magnetosensitive particles. Metal-carbon nanoparticles (MCN) were used as the magnetosensitive component; they had a magnetosensitive iron core covered with a carbon shell. We used two methods of synthesis, namely (i) mechanical mixing of the TEG flakes and MCN particles, and (ii) applying a thermal shock (microwave processing) to the mixture of graphite intercalated with sulphuric acid and micro- and nanoparticles of iron and iron oxides. In the first case, MCN particles were fixed on the faces, edges, and other surface defects of the TEG flakes due to intermolecular forces, coordinate bonds, and electrostatic interaction. The strong adhesion of magnetosensitive iron/iron oxide and TEG particles in the second case was due to the mutual dissolution of iron and carbon components during the thermal shock, which formed an interfacial layer in which iron carbide is present. The presence of magnetosensitive components in the structure of the proposed oil sorbents allows the use of magnetic separation for the localization and removal of oil spills, increases the density of sorbents, and, accordingly, leads to a decrease in windage while retaining the advantageous properties of thermally expanded graphite. According to the results of laboratory studies, the efficiency of removing oil from the water surface is not lower than 95–96%.