Microwave-absorbing materials have attracted extensive attention due to the development of electronic countermeasures. In this study, novel nanocomposites with core–shell structures based on the core of Fe-Co nanocrystals and the shell of furan methylamine (FMA)-modified anthracite coal (Coal-F) were designed and fabricated. The Diels-Alder (D-A) reaction of Coal-F with FMA creates a large amount of aromatic lamellar structure. After the high-temperature treatment, the modified anthracite with a high degree of graphitization showed an excellent dielectric loss, and the addition of Fe and Co effectively enhanced the magnetic loss of the obtained nanocomposites. In addition, the obtained micro-morphologies proved the core–shell structure, which plays a significant role in strengthening the interface polarization. As a result, the combined effect of the multiple loss mechanism promoted a remarkable improvement in the absorption of incident electromagnetic waves. The carbonization temperatures were specifically studied through a setting control experiment, and 1200 °C was proved to be the optimum parameter to obtain the best dielectric loss and magnetic loss of the sample. The detecting results show that the 10 wt.% CFC-1200/paraffin wax sample with a thickness of 5 mm achieves a minimum reflection loss of −41.6 dB at a frequency of 6.25 GHz, indicating an excellent microwave absorption performance.