Graphene has good stability and adjustable dielectric properties along with tunable morphologies, and hence can be used to design novel and high-performance functional materials. Here, we have reported a facile synthesis method of nanoscale Fe3O4/graphene capsules (GCs) composites using the combination of catalytic chemical vapor deposition (CCVD) and hydrothermal process. The resulting composite has the advantage of unique morphology that offers better synergism among the Fe3O4 particles as well as particles and GCs. The microwave-absorbing characteristics of developed composites were investigated through experimentally measured electromagnetic properties and simulation studies based on the transmission line theory, explained on the basis of eddy current, natural and exchange resonance, as well as dielectric relaxation processes. The composites bear minimum RL value of −32 dB at 8.76 GHz along with the absorption bandwidth range from 5.4 to 17 GHz for RL lower than −10 dB. The better performance of the composite based on the reasonable impedance characteristic, existence of interfaces around the composites, and the polarization of free carriers in 3D GCs that make the as-prepared composites capable of absorbing microwave more effectively. These results offer an effective way to design high-performance functional materials to facilitate the research in electromagnetic shielding and microwave absorption.