Designing and manufacturing advanced structural microwave absorbers is one of the most feasible methods to address the growing electromagnetic stealth and protection challenges in both military and civilian domains. To this end, under the application context of structural–functional integration, a series of nanocomposites with varying ratios were prepared using multi-walled carbon nanotubes (MWCNTs) and inexpensive thermoplastic polypropylene as raw materials. The dispersion of nanofillers, rheological properties, thermal properties, and mechanical properties were evaluated. The research found that the impedance matching factor of the electromagnetic wave absorbers plays a more critical role in determining the material’s absorption capacity compared to the loss factor. Simple structural layering by changing the composition and design can effectively increase the effective absorption bandwidth (EAB) of the absorbers, with microwave attenuation primarily arising from conductive loss, interfacial polarization, dipole polarization, and multiple reflections. Finally, a multi-scale quasi-honeycomb absorber was fabricated using multi-material 3D printing with a structured design. Both simulation and experimental results showed consistent trends, demonstrating low sensitivity to the incident azimuth angle. This research features simplicity, low cost, and strong design capability, providing a new strategy for the preparation of functionally graded materials with potential applications in electromagnetic wave absorption.