Electromagnetic absorbers with wide effective absorption bandwidth are urgently sought for the cutting-edge electronic application. However, constrained by Kramers-Kronig relationship, expanding effective absorption bandwidth remains a huge challenge for traditional magnetic-dielectric double loss absorbers. In this work, dual strategies are proposed to prepare circular truncated cone array structural absorber for achieving ultra-broadband microwave absorption. Magnetic-dielectric loss components is fabricated with HNO3-oxided FeSiAl flakes/multi-wall carbon nanotubes composites for manipulating permittivity and permeability, which can realize effective absorption bandwidth of 4.0 GHz and optimal reflection loss of −45.49 dB with thickness of 1.3 mm. Sub-wavelength effect and structural design are applied for circular truncated cone array to reach broadband absorption via quarter-wave cancellation, multiple resonance at different thickness and coupling effect of structure and loss composites. The experimental results are in good agreement with the simulation and effective absorption bandwidth of 35 GHz in 5–40 GHz and minimum reflectivity of −38.25 dB at 10.26 GHz are realized, which demonstrates the effectiveness of microscale component and macroscopic structural design. This work proposes a rational route for designing high-efficiency microwave absorbers with both strong and ultra-broadband features.