This work reports the first utilization of anthocyanin extracted from black rice (Oryza sativa L.) grains as a structure-directing agent for the synthesis of hollow zinc oxide (ZnO) spheres via a simple solvothermal reaction and their subsequent modifications with various amounts of multiwalled carbon nanotubes (MWCNTs). Following hybridization with MWCNTs, some MWCNTs are observed to penetrate into the inner cavities of the spheres, while ZnO nanoparticles are formed on the surface of some MWCNTs. When employed as a sulfur dioxide (SO2) sensor, the ZnO-MWCNT (15:1) composite displays a high response of 156 to 70 ppm of SO2 at an optimum temperature of 300 °C as well as good selectivity to SO2 with the response to 50 ppm of SO2 gas being 3 times higher than those to other gases, such as CO, CO2, methanol, toluene, hexane, and xylene. Interestingly, the sensing behavior of this composite is strongly influenced by the proportion of MWCNTs. Specifically, n-type sensing behavior is observed for both ZnO-MWCNT (10:1) and (15:1) composites, while p-type behavior is observed for the ZnO-MWCNT (5:1) composite. The switch in sensing behavior suggests the major contribution of p-type MWCNTs to the electronic and sensing properties of the ZnO/MWCNT composites. The density functional theory (DFT) simulations on the adsorption of SO2 on the ZnO/CNT system reveal that the SO2 molecule only chemically interacts with the O adatom of ZnO (i.e., oxygen atom adsorbed on the surface of ZnO) to form sulfur trioxide (SO3), and charge transfer is observed from ZnO to CNT, which enhances the change in resistance of the composite sensor upon exposure to SO2 gas.