We report on the fabrication of thermally responsive hollow pNIPAM particles through the oxidation of the metal core in an Au@pNIPAM system. The selective oxidation of the Au core is achieved by addition of AuCl4- to an aqueous dispersion of Au@pNIPAM particles in the presence of cetyltrimethylammonium bromide (CTAB). We fabricate hollow pNIPAM particles with three cross-linking densities (N,N'-methylenebis(acrylamide), BA, at 5%, 10%, and 17.5%). The study of the effect of the amount of BA within the microgel network was performed by dynamic light scattering (DLS), transmission electron microscopy (TEM), and atomic force microscopy (AFM), showing its key role in determining the final hollow structure and thermal response. While the thermal responsiveness is largely achieved at low cross-linking densities, the hollow structure only remains at larger cross-linking densities. This was further confirmed by cryo-TEM analysis of hollow pNIPAM particles below and above the volume phase transition temperature (VPTT). Thus, it clearly shows (i) the shrinking of particle size with the temperature at low cross-linking density and (ii) the dependence of particle size on the amount of cross-linker for the final hollow pNIPAM structure. Observed differences in the hollow pNIPAM structure are attributed to different elastic contributions (Pi(elas)), showing higher elasticity for microgels synthesized at lower amount of BA.