Using soft magnetic alloys as the matrix, the structural diversity of rare-earth metal–organic frameworks (RE-MOFs) provide a versatile platform for developing advanced electromagnetic wave (EMW) absorbing materials. In this study, an annealing-induced amorphous-nanocrystalline transformation in FeSiB alloys effectively relieves internal stress and stabilizes the magnetic matrix. Subsequently, a low-conductivity, wrinkled RE-MOF layer is constructed on the alloy surface to regulate dielectric behavior and optimize impedance matching. The abundant heterogeneous interfaces and defect sites introduced by the RE-MOF architecture facilitate interfacial polarization by providing charge accumulation centers at phase boundaries. Meanwhile, the hierarchical and rigid framework of the RE-MOF layer contributes to multiple internal reflections and scattering of incident electromagnetic waves, thereby extending the propagation path and enhancing energy dissipation. At a La-MOF loading of 5 wt.%, the composite exhibits a minimum reflection loss (RL_min) of −63.72 dB (13.58 GHz, 1.82 mm), with a bandwidth of 2.93 GHz at RL ≤ −20 dB for a thickness of 1.8 mm. Increasing the La-MOF content to 10 wt.% resulted in RL_min of −56.16 dB at 8.565 GHz with a matching thickness of 2.63 mm, while the corresponding absorption bandwidth decreases to 1.93 GHz (1.8 mm). These results indicate that the incorporation of rare-earth MOF into the amorphous-nanocrystalline FeSiB matrix effectively enhances microwave attenuation, which is closely associated with the folded MOF microstructure that facilitates repeated scattering and prolongs the propagation path of incident electromagnetic waves.