Three types of hierarchical MnO2 nanostructures were prepared by a facile one-pot hydrothermal process. The crystal phase and microstructure were characterized by XRD, SEM, TEM and HRTEM. The microsphere/nanosheets structures were found to be layered δ-MnO2 at 120 °C. The dual-phase core-shell structure with the core of δ-MnO2 microsphere/nanosheets and the shell of α-MnO2 nanorods was synthesized at 150 °C. At 180 °C, a hollow urchin-like α-MnO2 structure was obtained. By analysis of the microwave absorption properties of these MnO2, the enhanced microwave absorption properties were observed in core-shell composites, and the minimum reflection loss (RLmin) of −45.2 dB at 4.5 GHz with the thickness of 3.9 mm has been achieved with 40 wt% absorbers in wax composites. The excellent microwave absorption properties of the composites are originated from the good impedance match caused by the core–shell heterostructure and more interfacial polarizations between δ-MnO2 microsphere/nanosheets and α-MnO2 nanorods.