A novel double-higher-order entire-domain volume integral equation (VIE) technique for efficient analysis of electromagnetic structures with continuously inhomogeneous dielectric materials is presented. The technique takes advantage of large curved hexahedral discretization elements-enabled by double-higher-order modeling (higher-order modeling of both the geometry and the current)-in applications involving highly inhomogeneous dielectric bodies. Lagrange-type modeling of an arbitrary continuous variation of the equivalent complex permittivity of the dielectric throughout each VIE geometrical element is implemented, in place of piecewise homogeneous approximate models of the inhomogeneous structures. The technique combines the features of the previous double-higher-order piecewise homogeneous VIE method and continuously inhomogeneous finite element method (FEM). This appears to be the first implementation and demonstration of a VIE method with double-higher-order discretization elements and conformal modeling of inhomogeneous dielectric materials embedded within elements that are also higher (arbitrary) order (with arbitrary material-representation orders within each curved and large VIE element). The new technique is validated and evaluated by comparisons with a continuously inhomogeneous double-higher-order FEM technique, a piecewise homogeneous version of the double-higher-order VIE technique, and a commercial piecewise homogeneous FEM code. The examples include two real-world applications involving continuously inhomogeneous permittivity profiles: scattering from an egg-shaped melting hailstone and near-field analysis of a Luneburg lens, illuminated by a corrugated horn antenna. The results show that the new technique is more efficient and ensures considerable reductions in the number of unknowns and computational time when compared to the three alternative approaches.