Oxygen vacancy engineering is one of the key strategies to modulate the electric structure and properties of metal oxides. However, the relationship between oxygen vacancies and electromagnetic wave (EMW) absorption capabilities is so far unclear. Herein, oxygen vacancy boosted microwave absorption was realized over CeO2 dual-shell hollow nanospheres (HNSs), which can be tuned by thermal conversion temperatures (Ts) of CeOHCO3 HNSs. The lattice stress decreases linearly, and the conductivity increases gradually with the elevating Ts. Our findings show that a moderate Ts favors the formation of dual-shell CeO2 HNSs with a high oxygen vacancy concentration, a large SBET, an appropriate lattice defect, and proper conductivity. The abundant oxygen vacancies endow CeO2 HNSs with massive localized electrons and dipole centers, which benefit the conductivity, conductive loss, defect/dipole polarizations. CeO2 DSHNSs formed at Ts = 400 °C bear broad bandwidth (5.44 GHz) and strong absorption (−43.28 dB), far superior to the reported CeOHCO3 single-shell HNSs, CeO2 single-shell HNSs, and most other CeO2-based composites. Overall, this work establishes a clear correlation between oxygen vacancy defects and EMW dissipation ability, offering valuable insights for designing superior EMW absorbents.