Developing dual-functional materials with excellent thermal conduction and microwave absorption has emerged as a critical strategy for addressing increasingly serious electromagnetic pollution and heat dissipation difficulties. While the advancements in these materials are constrained by their high loading and incompatible performance. To develop a thermally conductive and microwave-absorbing material with a low load, this work fabricates a series of cotton-derived spiral fibers, i.e., carbon fibers (CFs), carbon fiber/Ni (CF@Ni) fibers, and carbon fiber/Ni/carbon nanotube (CF@Ni@CNT) fibers, via a freeze-drying calcination method. By controlling the amount of nickel acetate (n) and methylbenzene volume (V), we finely modulated the multiple heterostructure interfaces, dual-scale interconnected network, defects, and magnetic/dielectric-loss of the spiral CF@Ni@CNT fibers. Results show that the comprehensive properties of spiral CF@Ni and CF@Ni@CNT fibers, obtained by combining spiral CFs with magnetic Ni nanoparticles and/or CNTs, are significantly improved. The spiral CF@Ni fibers formed at n = 8.4 mmol exhibit a lower thermal conductivity (TC = 3.64 W/m⋅K) but a wider absorption bandwidth (EAB = 6.4 GHz; 10 wt% load) than CFs. Besides, the spiral CF@Ni@CNT fibers formed at n = 4.2 mmol and V = 2 mL bear a higher TC (4.27 W/m⋅K) and a larger EAB (7.52 GHz/mm) at the same load (10 wt%). The low load could be ascribed to the low percolation threshold of a dual-scale interconnected framework consisting of CFs, CNTs, and Ni0. Additionally, the simultaneous improvement in thermal conduction and microwave absorption of the spiral CF@Ni@CNT fibers is associated with their magnetic-dielectric dual loss, electron-phonon co-transmission, and dual-scale interconnected framework.