Lanthanide‐doped nanomaterials have attracted significant attention for their preeminent properties and widespread applications. Due to the unique characteristic, the lanthanide‐doped photoluminescence materials with hollow structures may provide advantages including enhanced light harvesting, intensified electric field density, improved luminescent property, and larger drug loading capacity. Herein, the synthesis, properties, and applications of lanthanide‐doped photoluminescence hollow structures (LPHSs) are comprehensively reviewed. First, different strategies for the engineered synthesis of LPHSs are described in detail, which contain hard, soft, self‐templating methods and other techniques. Thereafter, the relationship between their structure features and photoluminescence properties is discussed. Then, niche applications including biomedicines, bioimaging, therapy, and energy storage/conversion are focused on and superiorities of LPHSs for these applications are particularly highlighted. Finally, keen insights into the challenges and personal prospects for the future development of the LPHSs are provided.