Manufacturing lightweight, ultralow filler loading, broad bandwidth and highly efficient microwave absorbers is still a challenge. Herein, we have synthesized Co nanoparticles decorated N-self-doped carbon nanofibers (Co@NCNFs) composite by electrospinning followed by a two-step heat treatment and investigated its electromagnetic (EM) and microwave absorption performances under different filler contents (from 2.5 to 7.5 wt%) in paraffin wax matrix. It is found that the Co@NCNFs composite has strong ferromagnetism and moderate graphitization degree as well as abundant polar groups and defects, and Co nanoparticles encapsulated by graphitic carbon layers with sizes around 45–115 nm are uniformly dispersed in the NCNFs. With increasing the filler loading, the EM attenuation ability is gradually strengthened while the impedance matching level is just the opposite. The EM absorbing properties of the composites are more superior within 5.0 wt% Co@NCNFs loading owing to the synergy of improved impedance matching and satisfactory EM dissipation ability. Under an ultralow filler loading of 2.5 wt%, the optimal reflection loss (RL) can reach as strong as −49.3 dB at 17.83 GHz with a thin thickness of 1.61 mm and the maximum effective absorption bandwidth (EAB, RL<−10.0 dB) is as wide as 5.44 GHz (12.56–16.99 GHz) at 1.92 mm. When the filler loading is only 5.0 wt%, a minimum RL value of −52.3 dB is achieved at 6.36 GHz with the thickness of 3.03 mm and the maximum EAB is 4.64 GHz (13.36–18.00 GHz) at 1.42 mm. Compared to other Co/C composite absorbers, the as-prepared Co@NCNFs composite with well-designed constitute and structure demonstrates the better comprehensive absorption performance at a much lower filler loading. Therefore, the present Co@NCNFs may be more promising for practical applications as lightweight and high-performance EM wave absorbers especially in the medium and high frequency range.