Core–shell structures, where the “guest” material is encapsulated within a protective shell, integrate the advantages of different materials to enhance the overall properties of the composite. Covalent–organic frameworks (COFs) are favorable candidates for composing core–shell structures due to their inherent porosity, good activity, excellent stability, and other advantages. In particular, COFs as shells to encapsulate other functional materials are becoming increasingly popular in the fields of environmental remediation and energy conversion. However, there is a lack of reviews on COF‐based core–shell materials. In this context, this review provides a systematic summary of the current research on COF‐based core–shell composites. First, a simple classification is made for COF‐based core–shell composites. The second part of the review describes the main synthesis methods. The changes brought about by the COF shell and core–shell structures on the properties of the composites and their applications in photocatalysis, electrocatalysis, adsorption, sensing, and supercapacitors are then emphasized. Finally, new perspectives on the future development and challenges of composites are presented. The purpose of this study is to provide future insights into the design and application of COF‐based core–shell composites.