Great progress has been made in the preparation and application of multi-shelled hollow micro-/nanostructures during the past decade. However, the synthetic methodologies and potential applications of these novel and interesting materials have not been reviewed comprehensively in the literature. In the current review we first describe different synthetic methodologies for multi-shelled hollow micro-/nanostructures as well as their compositional and geometric manipulation and then review their applications in energy conversion and storage, sensors, photocatalysis, and drug delivery. The correlation between the geometric properties of multi-shelled hollow micro-/nanostructures and their specific performance in relevant applications are highlighted. These results demonstrate that the geometry has a direct impact on the properties and potential applications of such materials. Finally, the emerging challenges and future development of multi-shelled hollow micro-/nanostructures are further discussed.