Metallic iron particles are of great potential for microwave absorption materials due to their strong magnetic loss ability. However, the oxidation susceptibility of metallic iron particles in the atmospheric environment is regarded as a major factor causing performance degradation. Although many efforts have been developed to avoid their oxidation, whether partial surface oxidized iron particles can improve the microwave absorbing performance is rarely concerned. In order to explore the effect of partial surface oxidation of iron on its properties, the designed yolk–shelled (Fe/FeOx)@C composites with multiple heterointerfaces were synthesized via an in-situ polymerization and a finite reduction–oxidation process of Fe2O3 ellipsoids. The performance enhancement mechanisms of Fe/FeOx heterointerfaces were also elaborated. It is demonstrated that the introduction of Fe-based heterogeneous interfaces can not only enhance the dielectric loss, but also increase the imaginary part of the permeability in the higher frequency range to strengthen the magnetic loss ability. Meanwhile, the yolk–shell structure can effectively improve impedance matching and enhance microwave absorption performances via increasing multiple reflection and scattering behaviors of incident microwaves. Compared to Fe@C composite, the effective absorption (reflection loss (RL) < −10 dB) bandwidth of the optimized (Fe/FeOx)@C-2 increases from 5.7 to 7.3 GHz (10.7–18.0 GHz) at a same matching thickness of 2 mm, which can completely cover Ku-band. This work offers a good perspective for the enhancement of magnetic loss ability and microwave absorption performance of Fe-based microwave absorption materials with promising practical applications.