The carbon-coated Fe(C), Co(C) and Ni(C) nanocapsules were prepared by a modified arc-discharge method in methane atmosphere. The nanocapsule powder, 50 % by weight, was mixed uniformly with paraffin wax to form measurement samples. Their electromagnetic (EM) wave reflection loss of the composite samples was calculated using the relative complex permeability and permittivity measured in microwave frequency range of 2-18 GHz. It is indicated that Fe(C), Co(C) and Ni(C) nanocapsules show the broadband characteristics with strong absorption from 2 to 18 GHz for a coating thickness of about 2-3 mm. The excellent EM wave absorption properties are mainly attributed to the proper electromagnetic match in microstructure, strong natural resonance as well as multi-polarization mechanisms, etc. As an inspiration, we found this kind of nanocapsules with a dielectric shell and a ferromagnetic core are very promising for new EM wave absorption materials.