Thermal protection of the hot-end components of ultra-high-flying vehicles requires the microwave absorption of thermal barrier coating (TBC). In this work, the microwave-absorbing functionalization of LaMgAl₁₁O₁₉ (LMA) TBC was successfully realized by adding FeSiAl (FSA) absorber to the LMA thermal barrier ceramic matrix to adjust electromagnetic parameters. Due to the formation of the layered lamellae structure during atmospheric plasma spraying (APS), LMA–FSA composite TBCs have better electromagnetic wave (EMW) absorbing properties than feed powder. EMW absorption of TBCs is mainly controlled by the magnetic loss, and the natural resonance is the main mechanism of magnetic loss. TBCs exhibit a minimum reflection loss (RL) value of −13.4 dB, and effective absorption bandwidth (EAB) of RL < −10 dB is up to 3.11 GHz at a simulated thickness of 2 mm. Phase and structure stability of the TBCs and microwave absorption property could be relatively well preserved even after heat treatments at 600–1000 °C for 3–50 h. Thermal conductivity of the LMA–FSA composite TBCs with FSA contents of 30–50 wt% are about 2.84–3.05 W·m⁻¹·K⁻¹ at 800 °C. LMA–FSA composite TBCs with heat-resistant, heat-insulation, and EMW absorbing properties might find attractive potential applications in the thermal protection for the light alloy hot-end components in civil and military industry.