Due to their special structural characteristics, hollow structures grant fascinating physicochemical properties and widespread applications, especially in electrochemical energy storage and conversion. Recently, the research of Prussian blue (PB) and its analog (PBA) related nanomaterials has emerged and has drawn considerable attention because of their low cost, facile preparation, intrinsic open framework, and tunable composition. Here, the recent progress in the study of PB- and PBA-based hollow structures for electrochemical energy storage and conversion are summarized and discussed. First, some remarkable examples in the synthesis of hollow structures from PB- and PBA-based materials are illustrated in terms of the structural architectures, i.e., closed single-shelled hollow structures, open hollow structures, and complex hollow structures. Thereafter, their applications as potential electrode materials for lithium-/sodium-ion batteries, hybrid supercapacitors, and electrocatalysis are demonstrated. Finally, the current achievements in this field together with the limits and urgent challenges are summarized. Some perspectives on the potential solutions and possible future trends are also provided.