Three-dimensional (3D) nanostructures of α-Fe2O3 materials, including both hollow sphere-shaped and yolk-shell (core-shell)-shaped, have been successfully synthesized via an environmentally friendly hydrothermal approach. By expertly adjusting the reaction time, the solid, hollow, and yolk-shell shaped α-Fe2O3 can be selectively synthesized. Yolk-shell α-Fe2O3 nanospheres display outer diameters of 350 nm, and the interstitial hollow spaces layer is intimately sandwiched between the inner and outer shell of α-Fe2O3 nanostructures. The possible growth mechanism of the yolk-shell nanostructure is proposed. The results showed that the well-defined bilayer interface effectively enhanced the sensing performance of the α-Fe2O3 nanostructures (i.e., yolk-shell α-Fe2O3@α-Fe2O3), owing predominantly to the unique nanostructure, thus facilitated the transport rate and augmented the adsorption quantity of the target gas molecule under gas detection.