This paper reported a facile template-free route to prepare hierarchical Fe3O4–Co3O4 yolk–shell nanostructures. These highly porous architectures, with a diameter of about 2 μm, were assembled from Co3O4 flower-like shells and Fe3O4 sphere core. A series of experiments with different conditions were carried out to determine the key factors in this typical solvothermal synthesis that led to the formation of the obtained yolk–shell nanostructures, and a possible growth mechanism was proposed. Sequentially, some other similar metal oxide nanostructures were also obtained in this way. Importantly, the obtained Fe3O4–Co3O4 yolk–shell nanostructures exhibit excellent electrocatalytic ORR performance. The half-wave potential of the yolk–shell nanostructures is about 5 and 80 mV positive-shifted compared to that of the independent Co3O4 and Fe3O4 nanoparticles. The current density of O2 reduction for the Fe3O4–Co3O4 yolk–shell nanostructures is also much higher than that of Co3O4 and Fe3O4 nanoparticles. The enhanced electrocatalytic performance for Fe3O4–Co3O4 yolk–shell nanostructures may make them available to be an efficient and cheap noble-metal free cathodic catalyst for PEMFCs.