Abstract: The demand of high-end electromagnetic wave absorbing materials puts forward higher requirements on comprehensive performances of small thickness, lightweight, broadband, and strong absorption. Herein, a novel multi-layer stepped metamaterial absorber with gradient electromagnetic properties is proposed. The complex permittivity and permeability of each layer are tailored via the proportion of carbonyl-iron and carbon-fiber dispersing into the epoxy resin. The proposed metamaterial is further optimized via adjusting the electromagnetic parameters and geometric sizes of each layer. Comparing with the four-layer composite with gradient electromagnetic properties which could only realize reflection loss (RL) of less than −6 dB in 2.0–40 GHz, the optimized stepped metamaterial with the same thickness and electromagnetic properties realizes less than −10 dB in the relevant frequency range. Additionally, the RL of less than −15 dB is achieved in the frequency range of 11.2–21.4 GHz and 28.5–40 GHz. The multiple electromagnetic wave absorption mechanism is discussed based on the experimental and simulation results, which is believed to be attributed to the synergy effect induced by multi-scale structures of the metamaterial. Therefore, combining multi-layer structures and periodic stepped structures into a novel gradient absorbing metamaterial would give new insights into designing microwave absorption devices for broadband electromagnetic protections.