Fe2O3‐coated FeSiCr(FeSiCr@Fe2O3) nanoparticles were prepared by plasma arc discharge method and oxidation heat treatment process, and the crystallinity of Fe2O3 was improved by vacuum heat treatment. By adjusting the oxidation temperature, Fe2O3 shell layer is formed on the surface of FeSiCr nanoparticles. The thickness of the Fe2O3 shell layer increases with the increase of oxidation temperature. The complex permittivity (εr${\varepsilon _r}$) and complex permeability (μr${\mu _r}$) show a trend of first increasing and then decreasing. When the oxidation temperature is 125°C, the minimum reflection loss (RLmin) of FeSiCr@Fe2O3 nanoparticles is calculated to be −23.7 dB at 11.2 Ghz (d = 2.2 mm). With the increase of the temperature of vacuum heat treatment, the crystallinity of Fe2O3 shell keeps increasing. The real and imaginary values (ε′$\varepsilon ^{\prime}$ and ε′′$\varepsilon ^{\prime\prime}$) of the complex permittivity of FeSiCr@Fe2O3 nanoparticle increase with the increase of the crystallinity of Fe2O3 shell, and the μr${\mu _r}$ basically remains unchanged. When the vacuum heat treatment temperature is 150°C, the FeSiCr@Fe2O3 nanoparticle obtains RLmin of −49.9 dB at 15.9 Ghz (d = 1.7 mm). And the corresponding effective absorption bandwidth within 1‐18 GHz (RL ≤ −10 dB) is 5.9 GHz. The improved microwave performance is due to the interface polarization of the core‐shell structure, and the synergistic effect between FeSiCr and Fe2O3 also helps to balance the electromagnetic parameters.