Confronted with severe electromagnetic wave pollution, the development of high-performance electromagnetic wave shielding or absorbing materials is an effective way to deal with it. Notably, double transition metal alloys and transition metal dichalcogenides have attracted extensive attention in electromagnetic wave absorption, but few reports have studied the effects of these two materials on electromagnetic wave absorption at the same time. In this work, cobalt-based alloy with magnetic loss mechanism was selected for composition optimization. The ternary metal-organic framework was prepared by the one-step method, and then CoCu/C was prepared by high temperature annealing. Finally, in the hydrothermal process, ultra-thin tungsten selenide nanosheets were coated on the surface of magnetic component, and the final polyhedral WSe₂/CoCu/C composites with multiple heterogeneous interfaces were obtained. The synergistic effect of dielectric and magnetic components optimizes impedance matching and allows more electromagnetic waves to enter the absorber. Subsequently, through the conduction loss of high conductivity graphitized carbon, interfacial polarization, and dipole polarization of heterogeneous interfaces between the components, the magnetic loss provided by CoCu alloy can work together to maximize the attenuation ability of electromagnetic waves. Exactly, the minimum reflection loss (RL_min) value of the composite reaches −53.43 dB when the matched thickness is 2.1 mm, while the maximum effective absorption bandwidth (EAB_max) reaches 6.0 GHz at a thin thickness of 1.8 mm. This work provides some support and reference for the design of novel electromagnetic wave absorbing materials via the dielectric/magnetic loss synergistic mechanism.