Magnetic/dielectric composite materials with numerous heterointerfaces are highly promising functional materials, which are widely applied in the fields of electromagnetic wave absorption. Constructing heterogeneous structure is beneficial to further enhance the microwave absorption performance of composite materials. However, the process of constructing multi-heterogeneous interfaces is extremely complex. In this work, hollow porous FeCo/Cu/CNTs composite microspheres are prepared by the simple spray drying method and subsequently two-step annealing treatment, which possess abundant heterogeneous interfaces, unique three-dimensional conductive network and magnetic coupling network. This unique structure is beneficial to improving the ability of dielectric loss and magnetic loss, and then achieving an excellent microwave absorption performance. The prepared FeCo/Cu/CNTs-1 composite microspheres maintain a minimum reflection loss (RL) of –48.1 dB and a maximum effective absorption bandwidth of 5.76 GHz at a thickness of 1.8 mm. Generally, this work provides a new idea for designing multi-heterogeneous of microwave absorbing materials.