Porous SiO x anodes for Li‐ion batteries with a high volumetric energy density are desired. Herein, carbon‐coated SiO x –SnO 2 hollow spheres are prepared by facile one‐pot high‐temperature annealing without using any template. During the process, SiO x is obtained through Sn reduction with the assistance of C. In the composite, the SiO x hollow spheres have a thin wall, the small SnO 2 particles are uniformly imbedded in the sphere wall, and the SiO x –SnO 2 hollow spheres are coated by cross‐linked carbon. As an anode, the composite has a large volumetric capacity (1339 mAh cm −3 at 0.1 A g −1 ), a high gravimetric capacity (1030 mAh g −1 at 0.1 A g −1 ), and a good cyclic stability (after 100 cycles, 90% capacity is retained compared with that of the second cycle at 0.5 A g −1 ). The high capacity and good cycle stability result from the superior structure of the composite. Furthermore, the thin wall of the sphere can timely release a large expanded volume during lithiation, and the conformal carbon also provides a framework to maintain the structural integrity and facilitate the formation of a stable solid–electrolyte interface.