Using ethylene glycol as solvent and PVP as structure-directing agent, CuFe2O4 nanospheres were successfully prepared by solvothermal method. The crystal structure, morphology, magnetic properties, and pore-size distribution of samples were characterized by using X-ray diffraction, scanning electron microscope, transmission electron microscope, VSM, and BET, respectively. The effects of various preparation factors on the crystal form and morphology of the obtained samples were systematically discussed. The result exhibited that the self-assembled hollow nanospheres with good crystal form and morphology are obtained under the conditions of 0.50 g PVP, 9 mmol NaAc, reaction temperature of 180 °C, and reaction time of 24 h. The catalytic activity of CuFe2O4 hollow nanospheres was evaluated by the degradation of methylene blue (MB) and the possible degradation mechanism and pathway of MB in the CuFe2O4/H2O2 photo-Fenton-like system were proposed. In addition, the properties of CuFe2O4 particles prepared by different methods were compared and analyzed. The sample synthesized by solvothermal method has a large specific surface area and excellent magnetic properties. Furthermore, the increase in the photoelectric response and the conductivity are beneficial to the improvement of catalytic performance.