The rational synergy of chemical composition and spatial nanostructures plays an important role in high-performance electromagnetic wave (EMW) absorption materials. Here, reduced graphene oxide (RGO) hollow microspheres loaded with CoNi alloy nanoparticles (Air@RGO/CoNi) were constructed by a facile water-in-oil emulsification route followed by high-temperature thermal treatment. The crystal structure, composition, microstructure, and magnetic properties of Air@RGO/CoNi were characterized by XRD, XPS, TEM, and VSM, respectively. The results demonstrated that the as-obtained Air@RGO/CoNi composites showed a uniform spherical morphology with a remarkably hollow structure. Impressively, nano-CoNi particles were compactly and uniformly distributed on the surface of RGO. Benefiting from the unique structure and compositional merits, the optimized Air@RGO/CoNi hollow microspheres exhibit superior (EMW) absorption performance. The minimum reflection loss (RLmin) value reached up to −56.16 dB at 13.67 GHz with a thin thickness of 2.55 mm and the widest effective absorption bandwidth (RL values are below −10 dB) covered 8.65 GHz (9.15–17.8 GHz) with a thinner thickness of 2.4 mm. Furthermore, possible EMW attenuation mechanisms had been proposed. Given these outstanding findings, we believe the as-fabricated Air@RGO/CoNi hollow microspheres can be promising candidates as highly microwave absorption materials with thin thickness, wide absorption bandwidth, and high absorption capacity.