SiO2 and TiO2, as conventional dielectric shells of ferromagnetic/dielectric composite particles, can protect ferromagnetic particles from aggregation and oxidation, but contribute little to electromagnetic loss. In this work, we designed nano-assembled CoFe-CoFe2O4@C composite particles, in which ferrites with high permeability were dielectric elements and carbon was introduced as protective layers, aiming for high-efficiency microwave absorption. These assembled particles with different CoFe contents were prepared through solvothermal methods and subsequent hydrogen-thermal reduction. CoFe nanoparticles were dispersed on a CoFe2O4 matrix via an in situ reduction transformation from CoFe2O4 to CoFe. The microstructure evolution of composite particles and corresponding electromagnetic properties tailoring were investigated. The content and size of CoFe as well as the porosity of composite particles increase gradually as the annealing temperature increases. A maximum reflection loss (RL max) of -71.73 dB is observed at 4.78 GHz in 3.4 mm thick coating using particles annealed at 500 °C as fillers. The coating presents double-band absorbing characteristics, as broad effective absorption bandwidth with RL > 5 (ERL 5) and high RL max are observed in both S-C and X-Ku bands. The tunability as well as the assembled characteristic of the electromagnetic property that endued from the composite structure contributes to the excellent electromagnetic wave absorbing performances.