Herein, a facile, controllable, and versatile method is reported to prepare monodisperse yolk‐shell and yolk‐multishell silica nanoparticles (NPs) with mesoporous shells by a novel selective etching strategy. The mechanism of selective etching based on fluoride‐silica chemistry is investigated in detail and thus provides a fundamentally novel principle for the fabrication of yolk‐shell NPs. Specifically, this unprecedented and versatile synthesis strategy can be used to encapsulate essentially any silica‐based, carbon‐based, metal, metal oxide, or other possible NPs. Noteworthy is that most of the yolk‐shell mesoporous silica (mSiO2) NPs are prepared for the first time. To demonstrate the major structural and compositional advantages of the designed yolk‐shell NPs, their applications in the fields of ultralow‐dielectric constant (k) materials, drug delivery systems, and catalysts were explored. In detail, the lowest k value of the prepared yolk‐shellordered mesoporous silica@mSiO2/fluorinated polybenzoxazole composite films is 2.02; The obtained yolk‐shell mSiO2/C@mSiO2/C NPs possess high hydrophilicity and pH‐responsive sensitivity; The conversion of the catalytic reaction of the designed magnetic yolk‐shell hollow Fe3O4@SiO2/Au@mSiO2 NPs at 20 min is 97% with a high conversion rate (92%) and recyclability even after 10 reuses. This innovative work lays a solid foundation for freely tailorable yolk‐shell encapsulation and will greatly stimulate more efforts devoted to relevant research and development.