With the rapid development of modern electronic technology, there is an increasing demand for microwave-absorbing materials in various applications. These include reducing electromagnetic interference, enhancing communication quality, and ensuring stealth capabilities for military equipment. This study has developed a novel microwave-absorbing material, which is a composite system consisting of a high-entropy dual-core–shell (CoCrFeMnNi)3O4@C combined with graphene (GR), and is composed of polylactic acid (PLA) as the matrix. The material is prepared through a process involving high-temperature oxidation, carbonization to form the shell, and Powder extrusion molding techniques. The results demonstrate that when the dual-core–shell (CoCrFeMnNi)3O4@C microspheres are added at a loading of 20 wt%, and GR is added at 7 wt%, with a thickness of 2.22 mm, the composite material achieves a minimum reflection loss (RLmin) value of −51.36 dB and an effective absorption bandwidth (EAB) of 5.20 GHz. This excellent performance is attributed to the lattice distortion, a large number of oxygen vacancies, and abundant heterogeneous interfaces and conductive networks within the composites. These factors work together to stimulate multiple relaxation mechanisms, enhance the magnetic loss effect, and greatly improve the microwave absorption capability. The introduction of high-entropy microspheres effectively modulates the high conductivity of GR, further enhancing the comprehensive absorption performance of the material. This study not only offers a new strategy for designing and preparing high-performance microwave-absorbing materials but also establishes a valuable scientific foundation for materials research and application in related fields.