In this study, nest-like microspheres were facilely prepared using halloysite nanotubes (HNTs) as starting material, based on the dehydration reaction between hydroxy groups on the surface of HNTs. The nest-like structure of the obtained HNTs-based nest-like microspheres (HNTs-NMs) is demonstrated by SEM observations. HNTs-NMs exhibit desirable dispersibility in water and commonly used polymer matrices, which can be used as reinforcing agents in preparing epoxy resin composite in situ. The incorporation of HNTs-NMs into the epoxy resin gives rise to higher properties in stretching, impact, and toughness than both epoxy resin and equivalent HNTs-reinforced epoxy resin. The development of HNTs as nest-like microspheres affords the reinforcing agent with simultaneously enhanced mechanical properties for the obtained polymer composites. Furthermore, Mo-anchored HNTs-NMs (Mo-HNTs-NMs) were synthesized and a desirable microwave absorption ability is obtained. The optimal reflection loss is −25.47 dB at 16.91 GHz. When used as reinforcing agent, Mo-HNTs-NMs show a near-equal effect as compared to HNTs-NMs.