Recently, it is still a great challenge to develop a new type of absorber that possesses special advantages of low cost, ultrawide bandwidth, and strong absorption intensity. Herein, the unique "Matryoshka doll"-like CeO microspheres with tunable interspaces were successfully synthesized by a facile and template-free method. The as-synthesized hierarchical yolk-shell CeO microspheres were constructed by a layer of outer shell and multiple inner cores. The interspace gap of the microspheres can be simply adjusted only by altering the solvothermal reaction time. Simultaneously, Ostwald ripening, Kirkendall effect, and self-etching process contribute a synergetic growth mechanism responsible for this amazing hierarchical architecture. Importantly, the "Matryoshka doll"-like CeO microspheres exhibited significantly strong microwave absorption in the frequency range of 2-18 GHz, with a reflection loss of -71.3 dB at 14.5 GHz and an effective absorption bandwidth of 5.4 GHz (<-10 dB), which is superior to the multicomponent absorbers. Such an outstanding microwave absorption performance stems from the unique hierarchical yolk-shell structure and the designable interspaces, leading to the multiple scattering, interfacial polarization, and plasma dielectric oscillation from the abundant interfaces and curved surfaces, which can be illustrated by the related results from electron holography and electron energy loss spectroscopy. To the best of our knowledge, the "Matryoshka doll"-like CeO microspheres with a facile synthesis process, low cost, and excellent microwave absorption performance are believed to be an optimal candidate of single-component absorbers and helpful in the study of absorption mechanism.