Here, we report on the synthesis, characterization, and electromagnetic properties of the composites based on Fe2Co alloy nanoparticles, multi-walled carbon nanotubes (MWCNTs), and polystyrene (PS). The absorbing electromagnetic characteristics of Fe2Co/MWCNT-PS composites in the frequency range of 1–18 GHz have been tuned by controlling their dielectric and magnetic properties. For this, Fe2Co/MWCNT hybrids with a controlled composition and particle size of the Fe2Co alloy have been obtained by thermal decomposition of iron and cobalt carbonyls on the surface of MWCNTs with subsequent production of Fe2Co/MWCNT-PS membranes by vacuum filtration. The optimization of the conditions of the Fe2Co alloy particles formation as well as the study of the structure and morphology of the hybrids and membranes based on them have been carried out using HRTEM, HAADF-STEM, SEM, XRD, and TPD. The effect of the calcination temperature on the evolution of the chemical composition, structure, size, and morphology of supported Fe2Co nanoparticles has been thoroughly studied. In order to enhance the shielding properties of the material, a multilayer composite structure has been proposed and optimized, consisting of five alternating layers of Fe2Co/MWCNT-PS membranes and dielectric layers (neat PS) localized on a metal surface. The simulation results show that the proposed five-layer material, consisting of three layers of Fe2Co/MWCNT-PS membranes with thickness of 0.1 mm and two layers of PS with thickness of 0.5 mm, shows the highest efficiency of electromagnetic interference shielding (−14.2 dB at 17.5 GHz) as compared to a similar composite consisting of MWCNT-PS membranes (−5.4 dB at 17.5 GHz). Such multilayer structure is cost-effective and lightweight, which makes it a perspective material for EMI shielding.