This study utilizes FeCoCrNiAl itself as the Ni source to grow the Shandite phase Ni₃Sn₂S₂ in situ on its surface. By constructing Ni₃Sn₂S₂@FeCoCrNiAl with heterogeneous interfaces and continuous nanocoating, further modulated interfacial charge transfer and d-p hybridization while integrating the thermal conduction network. This approach simultaneously enhanced microwave absorption and thermal conductivity, balancing the opposing effects of interfacial phenomena on phonon heat transfer and microwave absorption. Multi-scale characterization techniques confirm the formation of crystalline phases and the achievement of dense, uniform coating, with increasing content leading to more uniform and dense coatings. The synergistic effect between dielectric loss based on Ni₃Sn₂S₂ and magnetic loss from high-entropy alloys achieves a minimum reflection loss (RL_min) of −44.26 dB. After introducing a frequency-selective surface (FSS), the thickness is optimized to 1.4 mm, further reducing RL_min to −60.47 dB. Regarding thermal conductivity, the 30 wt.% silicone rubber composite sample achieved a ΔT = 104.3 °C temperature rise within 8 s. Density functional theory (DFT) calculations reveal that transition metal d orbitals (Fe/Co/Ni, including Ni at the Ni₃Sn₂S₂ side) overlap with S-3p orbitals at the interface, forming d-p hybridization and creating a more continuous conductive state. The plane-averaged differential charge density reveals an interfacial dipole layer of approximately 1.2 Å (peaking at 6.53 and 7.71 Å), indicating electron migration from a high-entropy alloy (HEA) to Ni₃Sn₂S₂. This leads to interfacial polarization and enhanced dielectric loss. The afore mentioned electronic structural evidence aligns with macroscopic testing, providing new ideas for developing multifunctional microwave absorption and thermal conductivity materials.