Developing carbon encapsulated magnetic composites with rational design of microstructure for achieving high‐performance electromagnetic wave (EMW) absorption in a facile, sustainable, and energy‐efficiency approach is highly demanded yet remains challenging. Here, a type of N‐doped carbon nanotube (CNT) encapsulated CoNi alloy nanocomposites with diverse heterostructures are synthesized via the facile, sustainable autocatalytic pyrolysis of porous CoNi‐layered double hydroxide/melamine. Specifically, the formation mechanism of the encapsulated structure and the effects of heterogenous microstructure and composition on the EMW absorption performance are ascertained. With the presence of melamine, CoNi alloy emerges its autocatalysis effect to generate N‐doped CNTs, leading to unique heterostructure and high oxidation stability. The abundant heterogeneous interfaces induce strong interfacial polarization to EMWs and optimize impedance matching characteristic. Combined with the inherent high conductive and magnetic loss capabilities, the nanocomposites accomplish a high‐efficiency EMW absorption performance even at a low filling ratio. The minimum reflection loss of −84.0 dB at the thickness of 3.2 mm and a maximum effective bandwidth of 4.3 GHz are obtained, comparable to the best EMW absorbers. Integrated with the facile, controllable, and sustainable preparation approach of the heterogenous nanocomposites, the work shows a great promise of the nanocarbon encapsulation protocol for achieving lightweight, high‐performance EMW absorption materials.