Absorptive materials, by absorbing electromagnetic wave energy, effectively mitigate electromagnetic interference through reduction or elimination of wave reflection. The electromagnetic parameters of materials determine their electromagnetic wave absorption performance. Traditional control strategies, such as adjusting filler ratio, changing macroscopic morphology, and regulating composite methods, have certain limitations to control their structure and cannot fundamentally alter their electromagnetic parameters, which severely hinders their further development. Now, micro-nanostructure design strategies can basically change electromagnetic parameters of the materials by altering their electrical conductivity, charge density and magnetic properties, showing significant advantages in controlling electromagnetic wave absorption capacity. However, the precise micro-nanostructure design and the mass production still face challenges to be overcome. Additionally, structure-property relationship between micro-nanostructures and electromagnetic wave response, and its underline mechanisms are still not fully understood. Herein, a comprehensive review on these relationships was introduced to elucidate the advantages of micro-nanostructure design strategies for regulating electromagnetic wave absorption capacity. Moreover, by introducing these strategies, such as element doping, surface effect modulation and nucleation-controlled growth, this review provides researchers with deep insights and theoretical guidance for modulating electromagnetic properties through micro-nanostructure design. Finally, the research progresses on electromagnetic performance modulation through micro-nanostructure design based on the case of quantum dots, nanocrystals and nanowires, as well as the current research status and prospects in the field of electromagnetic absorption were summarized, providing a theoretical foundation and strategic support for the development of micro-nanoparticles.