The invention discloses a nano-particle composite wave-absorbing material with a double-shell microstructure so as to solve the defect that absorption frequency bands of the current wave absorbing materials are narrow. The nano-particle composite wave-absorbing material is characterized in that the composite wave-absorbing material is in a double-shell microstructure, an external shell is made of dielectric oxides, an internal shell is made of carbon, and an inner core is made of ferromagnetic materials. The nano-particle composite wave-absorbing material has the advantages that gradual impedance gradation is generated through the structural change of dielectric oxide shell-carbon shell-magnetic metal particle core, so that electromagnetic waves can maximumly transmit into the material, and the reflection of the electromagnetic waves is lowered; besides, the characteristics of resistance loss, dielectric loss and magnetic loss of the composite material, and ample interfacial polarization in the double-shell microstructure are utilized, so that the electromagnetic waves entering into the interior of the material rapidly attenuate. The composite material has the advantages of small density and wide frequency bands. The composite material has a wide application prospect in electromagnetic shielding, electrorheological fluids, functional coatings and the like.