Gradient‐structured materials hold great promise in the areas of batteries and electrocatalysis. Here, yolk–shell gradient‐structured SiOx‐based anode (YSG‐SiOx/C@C) derived from periodic mesoporous organosilica spheres (PMOs) through a selective etching method is reported. Capitalizing on the poor hydrothermal stability of inorganic silica in organic–inorganic hybrid silica spheres, the inorganic silica component in the hybrid spheres is selectively etched to obtain yolk–shell‐structured PMOs. Subsequently, the yolk–shell PMOs are coated with carbon to fabricate YSG‐SiOx/C@C. YSG‐SiOx/C@C is comprised of a core with uniform distribution of SiOx and carbon at the atomic scale, a middle void layer, and outer layers of SiOx and amorphous carbon. This unique gradient structure and composition from inside to outside not only enhances the electrical conductivity of the SiOx anode and reduces the side reactions, but also reserves void space for the expansion of SiOx, thereby effectively mitigating the stress caused by volumetric effect. As a result, YSG‐SiOx/C@C exhibits exceptional cycling stability and rate capability. Specifically, YSG‐SiOx/C@C maintains a specific capacity of 627 mAh g−1 after 400 cycles at 0.5 A g−1, and remains stable even after 550 cycles at current density of 2 A g−1, achieving a specific capacity of 519 mAh g−1.