Yolk–shell nanostructures have attracted tremendous research interest due to their physicochemical properties and unique morphological features stemming from a movable core within a hollow shell. The structural potential for tuning inner space is the focal point of the yolk–shell nanostructures in a way that they can solve the long-lasted problem such as volume expansion and deterioration of lithium-ion battery electrodes. This review gives a comprehensive overview of the design, synthesis, and battery anode applications of yolk–shell nanostructures. The synthetic strategies for yolk–shell nanostructures consist of two categories: templating and self-templating methods. While the templating approach is straightforward in a way that the inner void is formed by removing the sacrificial layer, the self-templating methods cover various different strategies including galvanic replacement, Kirkendall effect, Ostwald ripening, partial removal of core, core injection, core contraction, and surface-protected etching. The battery anode applications of yolk–shell nanostructures are discussed by dividing into alloying and conversion types with details on the synthetic strategies. A successful design of yolk–shell nanostructures battery anodes achieved the improved reversible capacity compared to their bare morphologies (e.g., no capacity retention in 300 cycles for Si@C yolk–shell vs. capacity fading in 10 cycles for Si@C core–shell). This review ends with a summary and concluding remark yolk–shell nanostructures.