Abstract Complex hollow structures of transition metal oxides, especially mixed metal oxides, could be promising for different applications such as lithium ion batteries. However, it remains a great challenge to fabricate well‐defined hollow spheres with multiple shells for mixed transition metal oxides. Herein, we have developed a new “penetration–solidification–annealing” strategy which can realize the synthesis of various mixed metal oxide multi‐shelled hollow spheres. Importantly, it is found that multi‐shelled hollow spheres possess impressive lithium storage properties with both high specific capacity and excellent cycling stability. Specifically, the carbon‐coated CoMn 2 O 4 triple‐shelled hollow spheres exhibit a specific capacity of 726.7 mA h g −1 and a nearly 100 % capacity retention after 200 cycles. The present general strategy could represent a milestone in design and synthesis of mixed metal oxide complex hollow spheres and their promising uses in different areas.