Electromagnetic (EM) wave absorbers with strong attenuation over a broad frequency range are critical for radiation protection and military stealth. However, magnetic alloys with high dissipation capacity remain challenging to achieve satisfactory impedance matching and enhanced high-frequency magnetic loss due to the scarcity of rational design for the distribution and size of magnetic particles. Herein, we design Prussian blue analogue (PBA) derived FeCo magnetoelectric composite nanocages by confinement engineering, achieving a strong absorption capacity of −47.4 dB and a broad bandwidth of 7.10 GHz at a small thickness of 1.9 mm. The exceptional absorption performance arises, on one hand, from the formation of well-dispersed FeCo nanoparticles with quasi-single-domain size, giving rise to enhanced magnetic anisotropy and high-frequency magnetic resonance. On the other hand, the formation of ferrimagnetic CoFe₂O₄ space-confined phase mitigates magnetic dilution, while effectively improving dielectric polarization and impedance matching due to their semiconducting feature. This work not only sheds light on the fabrication of FeCo magnetoelectric composite nanocages as efficient and wideband EM wave absorbers, but also propose a confinement engineering strategy for rational design of functional nanocomposites in multiple fields such as electromagnetics, electronics and optoelectronics.