Hierarchical micro-/nano-structured hollow materials, especially multi-shelled hollow structured materials have drawn wide attention recently benefiting from large specific surface area, low density and stable structure. As active electrode materials for lithium-ion batteries, multi-shelled hollow structures show several advantages including: (1) The nanoparticles with large specific surface area can contact well with the electrolyte improving the conductivity; (2) the composed nanoparticles with reduced size can shorten the lithium-ion diffusion pathways enhancing the high rate performance; (3) the stable hollow micro-structures can buffer the volumetric expansion/contraction during the discharge/charge processes sustaining cyclic capacity. As photoanode materials for dye-sensitized solar cells (DSSCs) or for photocatalysts, multi-shelled hollow structures can reflect and scatter light for multiple times increasing the light capture thus enhancing the performance. The large specific surface can also adsorb more dyes or harmful organic pollutants to be degraded. TiO2 is a promising semiconductor used in many fields. As anode materials for lithium-ion batteries, first, the volumetric change during the lithium insertion/extraction processes is small, which is beneficial for stable structure and better cyclic stability. Second, the cut-off potential is relatively high, hence no unstable solid electrolyte interface (SEI) film will be formed during the discharge process, which leads to high safety. Third, the high rate performance of TiO2 is good, which is suitable for high power applications. By using multi-shelled hollow structured TiO2, the buffer function of hollow structures further maintains more stable structure thus better cyclic performance. On the other hand, the suitable band gap, high stability towards acid or base, and environment friendliness make it popular for DSSCs and photocatalysis. The multiple light reflecting/scattering function can further enhance the performance of TiO2. Up to date, there are more and more work on design and investigation of TiO2-based multi-shelled hollow structures. However, more precise synthesis and control of TiO2-based multi-shelled hollow structures is still challenging. In order to better control the synthesis, we need to learn more from previous work. In this review, we have summarized recent progress on the synthesis and applications of TiO2-based multi-shelled hollow structures. Firstly, since the crystal structure affects the properties greatly, we have introduced basic information of the main TiO2 polymorphs including anatase, rutile, TiO2(B) and brookite phases. Secondly, we have summarized the methods to synthesize TiO2-based multi-shelled hollow structures. Hard template, soft template and template-free methods are usually used, among which hard template method is more popular. Especially, sequential templating approach (STA) is more simple and effective to control the shell number, shell thickness, space between the shells and the shell composition. Although the traditional layer-by-layer hard template method is complex, it is effective to synthesize TiO2-based multi-shelled hollow structures with different compositional inner and outer shells. Thirdly, the applications of TiO2-based multi-shelled hollow structures in the lithium-ion batteries, DSSCs and photocatalysis fields have been summarized. Finally, the summary and outlook is provided. Up to date, researchers have made great achievements on the synthesis methods. However, more precise control on not only the shell structures but also the composition of shells is still highly desirable. Heterogeneous structures sometimes show special or improved properties. It may be a hotspot to design and fulfill the synthesis of multi-shelled hollow structures with heterogeneous compositions, which will be a big challenge. However, opportunity comes together with challenge. We believe the development of precise control on multi-shelled hollow structured materials will bring more opportunities for material field in future.