The preparation of the electromagnetic wave (EMW) absorbing materials with 3D porous structural, light weight, and high mechanical strength has been receiving greater attention for a long time. A series of light‐weight polyetheretherketone/graphite/FeCo ternary heterogeneous composite foams (PEEK/C/FeCo) with high mechanical strength are prepared via thermally induced phase separation. Based on the high compressive strength of PEEK resin and its stable skeleton formed by thermally induced phase separation, the composite foam has high compressive strength and low density. In addition, during the thermally induced phase separation process, porous structures are formed inside the PEEK, and graphite and FeCo particles are uniformly dispersed between the pore structures, the composite foams possess excellent porous structure, moderate dielectric loss, and magnetic loss, exhibiting good absorbing properties. With the low density of 0.49 g cm−3 and high compressive strength of 6.40 MPa, the as‐synthesized optimal sample (PEEK‐50/C‐40/FeCo‐10) achieves a minimum reflection loss up to −35.9 dB covering a bandwidth of 3.6 GHz for a thickness of 1.5 mm. In a word, this study provides a novel, economical, and efficient way to obtain a light foam with high mechanical strength and good EMW absorbing property.