Due to the increasingly serious electromagnetic radiation and pollution problems, it is urgent to develop high-performance electromagnetic wave absorbing materials. Herein, the hollow Fe3O4 microspheres encapsulated by single-walled carbon nanohorns (H-Fe3O4@SWCNHs) have been synthesized via facile solvothermal approach. The obtained H-Fe3O4@SWCNHs composite exhibits a unique hollow core-shell structure and superior microwave absorption performance. When the matching thickness is 2.0 mm, the composite shows a minimum reflection loss value of −42.2 dB at 13.6 GHz and a maximum effective absorption broadband value of 6.2 GHz covering from 11.8 to 18 GHz. The excellent microwave absorption performance of the H-Fe3O4@SWCNHs composite is mainly attributed to the unique hollow core-shell structure, optimal impedance matching, and synergistic effects of dielectric loss and magnetic loss. Therefore, the present work provides a new kind of ideal microwave absorbing material with light weight, thin thickness, wide bandwidth and strong absorption capability for high-performance microwave absorption.