The severe electromagnetic (EM) interference and overheating issues in 5G/6G electric devices increasingly heighten the need for developing multifunctional materials with large heat conduction (HC) and high EM wave (EMW) absorption. Here, a series of γ-Al2O3-based yolk-shell microspheres (γ-AlOOH, γ-Al2O3, γ-Al2O3@C, γ-Al2O3@Fe3O4@C, and γ-Al2O3@FeAl2O4@Fe@C YSMSs) as multifunctional fillers are investigated for the simultaneous improvement in the HC and EMW absorption of γ-Al2O3-based composites. Using γ-AlOOH YSMSs as precursors produced from a hydrothermal method, the γ-Al2O3-based YSMSs were synthesized via an annealing route or soaking-annealing route; their phases, textures, and compositions were finely adjusted by changing the Al3+/Fe3+ molar ratio (β) and annealing temperature (Ta). Results show that the thermal transfers in the γ-Al2O3-based YSMSs are promoted by the synergic effect of phonons and electrons when they are utilized as thermally conductive fillers. Comparatively, the γ-Al2O3@FeAl2O4@Fe@C YSMSs formed at β = 8 : 2 and Ta = 700 °C exhibit a high HC of 1.84-3.29 W m-1 K-1 in a loading amount of 5-40%, exceeding those of not merely γ-Al2O3, γ-AlOOH, γ-Al2O3@C, and γ-Al2O3@Fe3O4@C YSMSs but also most previously reported fillers. Furthermore, the γ-Al2O3@Fe3O4@C YSMSs exhibit prominent EMW absorption properties with a large ABW/d of 4.49 GHz mm-1 (just 30% loading), superior to most other Al2O3-based absorbers. Such excellent EMW absorption could be explained by magnetic/dielectric dual loss and significant cavity and interfacial effects caused by yolk-shell structures. In conclusion, this work inspires the development of yolk-shell structures with magnetic/dielectric dual loss and phonon/electron thermal carriers as high-performance bifunctional materials with exceptional heat conduction and EMW absorption.