The severe electromagnetic (EM) interference and overheating issues in 5G/6G electric devices increasingly heighten the need for developing multifunctional materials with large heat conduction (HC) and high EM wave (EMW) absorption. Here, a series of γ-Al₂O₃-based yolk–shell microspheres (γ-AlOOH, γ-Al₂O₃, γ-Al₂O₃@C, γ-Al₂O₃@Fe₃O₄@C, and γ-Al₂O₃@FeAl₂O₄@Fe@C YSMSs) as multifunctional fillers are investigated for the simultaneous improvement in the HC and EMW absorption of γ-Al₂O₃-based composites. Using γ-AlOOH YSMSs as precursors produced from a hydrothermal method, the γ-Al₂O₃-based YSMSs were synthesized via an annealing route or soaking-annealing route; their phases, textures, and compositions were finely adjusted by changing the Al³⁺/Fe³⁺ molar ratio (β) and annealing temperature (T_a). Results show that the thermal transfers in the γ-Al₂O₃-based YSMSs are promoted by the synergic effect of phonons and electrons when they are utilized as thermally conductive fillers. Comparatively, the γ-Al₂O₃@FeAl₂O₄@Fe@C YSMSs formed at β = 8 : 2 and T_a = 700 °C exhibit a high HC of 1.84–3.29 W m⁻¹ K⁻¹ in a loading amount of 5–40%, exceeding those of not merely γ-Al₂O₃, γ-AlOOH, γ-Al₂O₃@C, and γ-Al₂O₃@Fe₃O₄@C YSMSs but also most previously reported fillers. Furthermore, the γ-Al₂O₃@Fe₃O₄@C YSMSs exhibit prominent EMW absorption properties with a large ABW/d of 4.49 GHz mm⁻¹ (just 30% loading), superior to most other Al₂O₃-based absorbers. Such excellent EMW absorption could be explained by magnetic/dielectric dual loss and significant cavity and interfacial effects caused by yolk–shell structures. In conclusion, this work inspires the development of yolk–shell structures with magnetic/dielectric dual loss and phonon/electron thermal carriers as high-performance bifunctional materials with exceptional heat conduction and EMW absorption.