Achieving multifunctionality to broaden the application scenarios is the development direction of electromagnetic wave (EMW) absorbing materials in the future. Here, a waterproof magnetic carbon foam (CF) was successfully prepared using a simple high-temperature pyrolysis and dip coating process, where the magnetic Fe3O4 nanoparticles were homogeneously and tightly encapsulated on the carbon skeleton of CF with the help of low surface energy PDMS, achieving the expected high-efficient EMW absorption performance. Except the 3D porous structure that contributes stronger EMW absorption through multi-reflection and scattering, the coexistence of conductive carbon skeleton and magnetic Fe3O4 can supply the dielectric-magnetic dual-loss, which is also beneficial for better impedance matching. In addition, the amounts of heterointerfaces and abundant crystalline defects and doped N atoms in graphitic carbon can also generate additional polarization loss. Furthermore, high-efficient EMW absorption capacity was achieved by tuning the pyrolysis temperature, of which the CF pyrolyzed at a temperature of 900 °C (PDMS/Fe3O4/CF-900) exhibited a minimum reflection loss (RLmin) value of −47.36 dB with 3.15 mm thickness and a maximum effective absorption bandwidth (EABmax) up to 9.76 GHz with 4.2 mm thickness. What's more, combining with the merits of high conductivity, hydrophobicity, and special 3D porous structure, the expected multifunctionality was also successfully achieved for the prepared PDMS/Fe3O4/CF-900, where it displays the excellent thermal management performance including a high Joule heating temperature of 161 °C at only 5 V and reliable heating capacity over 1500 s, high-efficient oil-water separation capacity such as high absorption amount (45.58 times), rapid absorption (1.14 s), and stable cyclic adsorption-desorption performances, and great thermal insulation property with a temperature difference up to 219.9 °C that make it to be promising infrared stealth material. This work provides a feasible strategy for the rational design and application of novel lightweight multifunctional high-performance EMW absorbing materials.