The present work focused on the synthesis and characterization of a magnetic M-type hexaferrite (CuFe10Al2O19) and its coating on the acid-modified multiwall carbon nanotube (MWCNT) through an in situ technique. Thermoplastic polyurethane (TPU)/CuFe10Al2O19/MWCNT nanocomposites, for the fabrication of microwave test plates, were prepared via the solution mixing process. The nanocomposites exhibited a remarkable and improved microwave absorption properties, compared to the pristine MWCNT and CuFe10Al2O19. The enhanced microwave absorption can be explained by the dielectric loss due to MWCNT, and the magnetic loss initiated by CuFe10Al2O19. We have also measured the relative complex permittivity and permeability, which assists to elucidate the improved microwave absorption property of the composites. The nanocomposite also showed a better specific capacitance of 269 F/g, and good electrochemical impedance properties than those of the pristine MWCNT and CuFe10Al2O19. This work can be extended effectively in the future for both supercapacitor and microwave-absorbing applications.