Carbon electromagnetic wave (EMW) absorbing materials are often limited in performance improvement due to their excessive conductivity and single loss mechanism. And the introduction of magnetic components with rational construction of microstructure is evolved as an effective approach to reinforcing the electromagnetic properties of carbon-based microwave absorbers. For the first time, a double-cavity yolk-shell hollow Fe₃O₄@C (H-Fe₃O₄@C) microwave absorber is fabricated via a “coating–coating–etching” method, by controlled high-temperature carbonization. The resultant carbon shell is actually composed of different contents of amorphous carbon and graphite, which has a powerful influence on the graphitization degree. When H-Fe₃O₄@C microspheres are carbonized at 650 ℃, the optimized reflection loss (RL) has reached −58.44 dB and the effective bandwidth is 6.0 GHz (12.0–18.0 GHz) covering the whole Ku band with the thickness of merely 1.9 mm (filler loading: 30 wt%), which is better than most carbon-based absorbing materials reported yet. The outstanding EMW absorbing properties are ascribed to the multiple reflections and scattering arising from the designed double-cavity yolk-shell structure, the multi-interface polarization between Fe₃O₄/air and C/air, and the good impedance matching relating to the proper carbonization degree of carbon component at 650 °C.