Fabrication of microwave absorption (MA) materials of matched small thickness, low density, broad effective absorption bandwidth (EAB), as well as high absorption performance remains a technical challenge to be solved today. In this paper, three-dimensional (3D) VSe2/CNTs/Fe3O4 ternary composites with a variety of self-assembled structures were fabricated by a two-step hydrothermal and one-step carbothermal reduction method. Via varying the content of Fe3O4 in the composites, different 3D multilayer interfacial structures, such as star fruit-, bitter melon-, goldfish-, starfish-, peony- and chrysanthemum-shaped structures were self-assembled, and excellent MA absorption characteristics were obtained. The best reflection loss (RLmin) was −50.96 dB at 1.8 mm thickness. The maximum EAB was 4.93 GHz at 2.0 mm thickness. Carbon nanotubes mainly contributed to conduction and polarization losses. In situ generated VSe2 nanosheets and Fe3O4 nanoparticles promoted the assembly of multilevel interfacial structures, thus contributing to interfacial polarization loss and dipole polarization loss. Fe3O4 also created magnetic losses. This study lays the foundation for fabricating highly efficient MA materials in special self-assembled heterostructures with ternary synergistic effects at the nanoscale.