Abstract: High-entropy alloys (HEAs) offer a versatile platform for electromagnetic-wave absorption, yet achieving effective modulation of their magnetic anisotropy and natural resonance frequency remains challenging. As an innovative strategy, Gd is intentionally incorporated into the Fe–Co–Cr–Al system to exploit its strong single-ion anisotropy and oxide-forming behavior, enabling direct engineering of the anisotropy field. Lamellar Fe1.1Co1.1Cr0.75Al1.05Gd0.1 HEAs prepared by mechanical alloying and annealing exhibit tunable crystallinity, defect density, and magnetic anisotropy. The presence of Gd significantly elevates the natural resonance frequency, reaching 12.22 GHz at 650 °C, thereby enabling strong absorption (−50 dB at 1.8 mm) and broad bandwidth (6.32 GHz at 1.4 mm). Moreover, Gd-induced surface oxides enhance corrosion and oxidation resistance. This work demonstrates a rare-earth–assisted approach for tailoring magnetic anisotropy in multifunctional EMW absorbing materials.