Microwave absorbers with infrared camouflage are highly desirable in military fields. Self-supporting 3D architectures with tailorable shapes, composed of FeCoNi alloy/carbon nanotubes (CNTs) @ carbon nanofibers (CNFs), were fabricated in this study. On the one hand, multiple loss mechanisms were introduced into the high-elastic sponges. Controllable space conductive networks caused by the in situ growth of CNTs on the CNFs contributed to the effective dielectric and resistance loss. Moreover, the uniformly distributed magnetic alloy nanoparticles (NPs) with dense magnetic coupling resulted in magnetic loss. On the other hand, heterogeneous interfaces were constructed by multicomponent engineering, causing interfacial polarization and polarization loss. Furthermore, the internal structures of sponges were optimized by regulating the alloy NPs sizes and the growth state of CNTs, then tuning the impedance matching and microwave absorption. Therefore, the high-elastic sponges with ultra-low density (7.6 mg·cm) were found to have excellent radar and infrared-compatible stealth properties, displaying a minimum refection loss (RL) of -50.5 dB and a maximum effective absorption bandwidth (EAB) of 5.36 GHz. Moreover, the radar stealth effect of the sponges was evaluated by radar cross-section (RCS) simulation, revealing that the multifunctional sponges have a promising prospect in military applications.