Hollow micro-/nano-structured materials are now playing an important role in cutting edge innovations for energy conversion and storage technologies such as solar cells, fuel cells, lithium ion batteries and super capacitors. These materials show great promise in addressing growing environmental concerns for cleaner power sources at a time of increasing global demand for energy. In this perspective, we show that complex multi-shelled micro-/nano-materials show significant material advantages in many applications over conventional simple hollow structures. We also summarize the vast array of synthetic strategies used to create multi-shelled hollow structures, and discuss the possible application of these novel materials for power generation and storage. Finally, the emergent challenges and future developments of multi-shelled hollow structures are further discussed.