Molybdenum blues (MBs) have attracted increasing attention due to their tunable structures and properties, which make them applicable in numerous fields. In this work, a novel strategy to synthesize MB nanorings by irradiating MoO3 suspended in water/ethanol mixtures with intense femtosecond laser pulses is demonstrated. It is found that the MoO3 can be dissolved in the water during laser irradiation to form molybdic acid, which provides an acidic environment for the formation of MB. Concentrations of ethanol as low as 1% result in the formation of MB and by adjusting the concentration of ethanol in the solvent, the absorption band can be tuned due to the modification of MoVOMoVI entities. The MB synthesized in 30% ethanol appears the darkest blue and assembly of vesicles 115 nm in size is observed. At high concentrations of ethanol (>70%), HXMoO3 and MoO3‐X are preferentially formed instead of MB. The photothermal conversion efficiency of the MBs synthesized in 1% and 30% ethanol is above 40%.