A new kind of complex hollow structure, ZnO/CdS triple-yolked hollow spheres (TYs), is prepared using a facile method. The formation mechanism is described in terms of a combined effect of the bubble-assisted Ostwald ripening and appropriate ion-exchange processes. The structural effect of ZnO hollow microspheres on the energy conversion efficiency is investigated. The uniqueness of TYs morphology leads to a 37% enhancement in energy conversion efficiency for SSSCs, as compared with single-shelled hollow spheres. The method using controlled ZnO/CdS yolk-in-shell structures in SSSCs presents obvious advantages in the generation of light scattering and makes full use of the internal structures of the photoelectrode. It also provides a feasible synthetic approach for fabrication of other complex hollow structures made of multicomponent functional heteromaterials.