In this work, polypyrrole-coated ZnFe2O4 (ZnFe2O4@PPy) nanocomposites were successfully synthesized via a simple in-situ polymerization process, then evaluated as electromagnetic wave (EMW) absorbers over the 2–40 GHz frequency range. The ZnFe2O4@PPy nanocomposites exhibited excellent EMW absorption properties, including very low reflection losses (−42.31 dB at 30.24 GHz and a thickness of 2.5 mm) and a broad absorption bandwidth of 28.20 GHz (from 9.66 to 37.86 GHz). The EMW absorption properties of the ZnFe2O4@PPy nanocomposites could be adjusted by changing the PPy shell thickness and also the thickness of the absorber (1–2.5 mm). The excellent microwave absorption performance of the ZnFe2O4@PPy nanocomposites is attributable to the synergistic effects of magnetic losses (ZnFe2O4 nanoparticles), dielectric losses (ZnFe2O4 and PPy) and interfacial relaxation losses at ZnFe2O4-PPy interfaces.