Impedance matching is important for achieving high-efficiency microwave absorbers. The high conductivity of dielectric loss materials such as pure metals and carbon nanomaterials generally results in poor absorption owing to the low impedance matching between the absorbers and air. Carbon nanostructures are very promising candidates for high-efficiency absorption because of their attractive features including low density, high surface area, and good stability. Herein, a new strategy is proposed to improve the impedance matching of dielectric loss materials using electrospun carbon nanofibers as an example. The carbon nanofibers are coated with specifically designed gradient multilayer nanofilms with gradually increasing electroconductibility synthesized by doping ZnO with different Al₂O₃ content (AZO) by atomic layer deposition. The gradient nanofilms are composed of five layers of dielectric films, namely, pure Al₂O₃, AZO (5:1, the pulse cycle ratio of ZnO to Al₂O₃), pure ZnO, AZO (10:1), and AZO (20:1). The versatile gradient films serve as intermediate layers to tune the impedance matching between air and the carbon nanofiber surfaces. Therefore, the carbon nanofibers coated with gradient films of rationally selected thicknesses exhibit remarkably enhanced microwave absorption performance, and the optimal reflection loss reaches −58.5 dB at 16.2 GHz with a thickness of only 1.8 mm. This work can help further understand the contribution of impedance matching to microwave absorption. Our strategy is general and can be applied to improve the absorption properties of other dielectric loss materials and even for applications in other fields.