By utilizing a simple and low-cost arc-discharge method in either liquid nitrogen or ethanol at ambient temperature and pressure, carbon-coated cementite (Fe3C) nanocapsules, with size ranges of 10–60 nm and 10–20 nm, respectively, have been synthesized on a large scale. The Fe3C/C nanocapsules synthesized in different media possess similar permeability but different permittivity, which results from the different defect amounts within the carbon shell. It has been found that the as-prepared products exhibit different electromagnetic wave absorption abilities: for the ones prepared in liquid nitrogen, the optimal reflection loss is above -10 dB in the range of 1-18 GHz with the thickness ranging from 1 to 10 mm; meanwhile, for those fabricated in ethanol, the reflection loss could be below -20 dB within the thickness range of 1.5-2.4 mm in the frequency range of 10-15 GHz, and reach -38 dB at a thickness of 1.9 mm with a matching frequency of 12.9 GHz. This indicates that the nanocapsules prepared in ethanol exhibit good electromagnetic wave absorption properties. These results provide a new way to fabricate carbon-coated Fe3C nanocapsules with the ability of electromagnetic wave absorption.