To obtain an excellent electromagnetic wave (EMW) absorption material, a strategy was proposed in this study with the aid of in-situ growth of carbon nanotubes (CNTs) on the surface of a metal–organic framework (MOF)-derived FeCoNiMnMg high-entropy alloy (HEA). The HEA@CNT composite was successfully prepared via a solvothermal method combined with a one-step pyrolysis process. With the pyrolysis temperature increasing from 600 °C to 800 °C, the length of CNTs grew from 200 nm to about 600 nm approximately, while the defect density of CNTs was enhanced. This structural evolution significantly improved the dielectric properties and impedance matching. Consequently, the sample prepared at 800 °C (HEA@CNT-800) exhibited outstanding microwave absorption performances, achieving a minimum reflection loss (RL_min) of −57.52 dB at a matched thickness of 2.3 mm and an effective absorption bandwidth (EAB) of 4.4 GHz at a thinner thickness of 1.9 mm. This work provides a novel perspective for designing high-performance MOF-derived absorption materials.