It is a significant challenge to develop a fast carbon fiber (CF) surface modification method that could generate a simple multifunctional CF surface, especially in the field of electromagnetic wave (EMW) and thermal regulation. Herein, the FeCoNiAlMn high-entropy alloy (HEA) nanoparticles modified CF (HEA-CF) was successfully prepared by microwave induced carbon thermal shock (MCTS) in a few seconds. The HEA-CF possessed magneto-thermal adjustability by controlling the elemental composition and crystal structures of HEA nanoparticles. It exhibited outstanding dielectric-magnetic loss and phonon heat transfer capability. Moreover, HEA nanoparticles and cellulose nanofibers on CF surface also formed multiscale interfacial reinforced structure. Consequently, HEA-CF/Polyamide 6 (PA6) composites demonstrated extraordinary versatility. MCTS5s-CF/PA6 exhibited the strongest absorption with minimum reflection loss value of −63.6 dB at 2.4 mm thickness. The maximum effective absorption bandwidth reached 6.67 GHz with thickness of only 1.9 mm. Compared with that of untreated-CF/PA6 composite, the thermal conductivities of MCTS4s-CF and MCTS5s-CF/PA6 composites increased by 45.2 % and 19.1 %. Simultaneously, the tensile strength of MCTS4s-CF/PA6 and MCTS5s-CF/PA6 composites increased by 19.5 % and 16.1 %. This new approach provided an effective way to realize multifunctional composites. Its low-cost, efficient and environmentally friendly process had great potential for large-scale production.