We have previously reported that the silane coating of magnetic nanoparticles (MNPs) of maghemite phase could be used to protect iron oxide cores during plasma heat treatment, and even help to reduce their phase to magnetite with higher magnetization. In this work, an additional layer of an electrically conductive polypyrrole was added on top of the silane-coated MNPs, producing core–shell particles with sizes ranging from 150 to 500 nm. A microwave plasma heat treatment was used to convert the amorphous, already-conductive polypyrrole coatings into a more electrically conductive graphitic structure, while simultaneously reducing the iron oxide phase to magnetite. The treatment produced core–shell particles with better microwave absorption properties over the frequency of 1–18 GHz, with a maximum reflection loss (absorption) of these MNPs at −37 dB at 10.3 GHz for samples containing 70 wt% of plasma-treated core–shell nanoparticles embedded in wax. By comparison, the maximum absorption for the same amount of untreated nanoparticles was only −18 dB at 7.5 GHz. The improved electromagnetic wave absorption properties were due to higher electrical conductivity of the more ordered, graphitic-like polypyrrole shell structures. This relatively simple protocol could thus be used to synthesize highly magnetic and conductive nanocomposites for electromagnetic interference shielding applications, particularly at the high frequency range.