To tackle the increasing electromagnetic pollution, new and efficient electromagnetic wave absorption (EWA) and shielding (EWS) materials are urgently needed. Multi-component synergism and complex microstructure design are effective measures to improve the EWA and EWS properties. However, how to implement the above designs still faces huge challenges. Herein, multi-interface carbon-coated FeCoNi nanoneedles grown on carbon cloth (FeCoNi@C/CC) were synthesized by a combination of hydrothermal process and chemical vapor deposition (CVD) technology with the concept of “green synthesis”. Using acetylene as the carbon source and atmosphere, the FeCoNi ternary hydroxide can be transformed into a multiple magnetic component (Fe3O4, Ni, and Co metals) by simple annealing. Simultaneously, a uniform carbon layer is formed on the surface, resulting in a composite system with a variety of heterogeneous interfaces and loss mechanisms. Additionally, the dielectric and magnetic loss capacities can be effectively adjusted by changing the temperature of CVD. The optimized FeCoNi@C/CC as filler exhibits remarkable EWA performance with a minimum reflection loss of −69.3 dB at a thickness of 1.82 mm and a maximum effective absorption bandwidth of 6.80 GHz. Moreover, the composites as an integrated component also show a fascinating electromagnetic interference shielding efficiency of 42.2 dB. This work provides a guide for the structural design of high-performance electromagnetic protection materials with multi-heterogeneous interfaces.