Multi‐shelled hollow spheres metal oxides, namely materials with more than three shells, have attracted increasing attention due to their unique structure. The preparation methods of typical metal oxides including NiO, Co3O4 and ZnO etc. have been summarized in this review. Simultaneously, the parameters that influence the ultimate morphologies, shell number as well as the compositions have also been discussed. The potential application fields in energy conversion and storage, electromagnetic wave absorption, photocatalysis that related to the unique structure are also highlighted. Finally, the future researches of multi‐shelled hollow spheres metal oxides are further discussed.