Currently, hollow sphere insulating materials are of importance for applications such as energy storage and savings and cryogenic engineering. The structures are formed by single hollow spheres, which can be joined, for example, by sintering. In this study, a 15 wt% Er-EDTA complex aqueous solution in which hollow Y2O3 spheres were mixed was used as the deposition body, and pencil spraying and sintering (PSS) was used to synthesize an Er2O3 hollow Y2O3 sphere composite film on a polished Si substrate. The structure of the composite film was successfully controlled by adjusting the 15 wt% Er-EDTA solution/hollow Y2O3 sphere mass ratio and the jet-to-substrate distance in the PSS process. In addition, the thermal insulation capability of the films was evaluated by the thermal steady-state method. The results show that the Er2O3/hollow Y2O3:Eu sphere composite films have a higher thermal insulation capability at a jet-to-substrate distance of 150 mm and a mass ratio (g) of 3.5:1. For the composite films with thicknesses of 38–92 µm, cross-sectional hollow ratio of 0.8–8.7% and void ratio of 6.3–13.1%, the temperature drop due to the porous (including hollow spheres and voids) structure films at 440°C is ΔTf =47°C. This is mainly associated with the film having more complicated microstructures. Therefore, the Er2O3/Y2O3:Eu composite film has good thermal insulation performance, and a simple preparation method for many kinds of hollow sphere films with complex structures and high porosities by using complex solutions with different compositions is provided.