Core/shell-structured, hard/soft spinel-ferrite-based CoFe2O4/NiFe2O4 (CFO/NFO) nanocapsules with an average diameter of 17 nm are synthesized by a facile two-step hydrothermal process using CFO cores of ∼15 nm diameter as the hard magnetic phase and NFO shells of ∼1 nm thickness as the soft magnetic phase. The single-phase-like hysteresis loop with a high remnant-to-saturation magnetization ratio of 0.7, together with a small grain size of ∼16 nm, confirms the existence of exchange-coupling interaction between the CFO cores and the NFO shells. The effect of hard/soft exchange coupling on the microwave absorption properties is studied. Comparing to CFO and NFO nanoparticles, the finite-size NFO shells and the core/shell structure enable a significant reduction in electric resistivity and an enhancement in dipole and interfacial polarizations in the CFO/NFO nanocapsules, resulting in an obvious increase in dielectric permittivity and loss in the whole S–Ku bands of microwaves of 2–18 GHz, respectively. The exchange-coupling interaction empowers a more favorable response of magnetic moment to microwaves, leading to enhanced exchange resonances in magnetic permeability and loss above 10 GHz. As a result, strong absorption, as characterized by a large reflection loss (RL) of -20.1 dB at 9.7 GHz for an absorber thickness of 4.5 mm as well as a broad effective absorption bandwidth (for RL<-10 dB) of 8.4 GHz (7.8–16.2 GHz) at an absorber thickness range of 3.0–4.5 mm, is obtained.