Heating and cooling represent a significant portion of overall energy consumption of our society. Due to the diffusive nature of thermal energy, thermal insulation is critical for energy management to reduce energy waste and improve energy efficiency. Thermal insulation relies on the reduction of thermal conductivity of appropriate materials that are engineerable in compositions and structures. Hollow‐structured materials (HSMs) show a great promise in thermal insulation since the existence of high‐density gaseous voids breaks the continuity of heat‐transport pathways in the HSMs to lower their thermal conductivities efficiently. Herein, a timely overview of the recent progress in developing HSMs for thermal insulation is presented, with the focus on summarizing the strategies for creating gaseous voids in solid materials and thus synthesizing various HSMs. Systematic analysis of the documented results reveals the relationship of thermal conductivities of the HSMs and the size and density of voids, i.e., reducing the void size below ≈350 nm is more favorable to decrease the thermal conductivity of the HSMs because of the possible confinement effect originated from the nanometer‐sized voids. The challenges and promises of the HSMs faced in future research are also discussed.