Multiscale shell structure design is a rational and promising way to regulate the performance of hollow spheres in terms of both functionality and structural robustness, but it remains a big challenge to realize micro-nano engineering of the thin shell while maintaining the low density. In this work, the divisional shell design strategy was adopted to obtain the glass-cobalt-cobalt sulfide composite hollow microspheres (CSH), and an unprecedented stepwise high-temperature chemical reaction-induced aggregation and subsequent volume expansion strategy was developed to achieve rational regulation of core-shell structured cobalt-cobalt sulfide building units (BU) assembled on hollow glass microspheres. Special attention has been paid to the sulfidation degree-induced volume control with the underlying mechanism of volume expansion during chemical conversion from metallic cobalt to cobalt sulfide. The electromagnetic property was found to depend largely on the sulfidation degree due to the volume expansion-induced interconnecting status regulation among the BU. When evaluated as microwave absorbent, an optimized broad bandwidth of 5.12 GHz and a minimum reflection loss (RLmin) of –45.58 dB of our CSH can be achieved at a thin matching thickness of 1.67 mm and a low filling ratio of 20.04 wt%. In addition to functionality, the divisional shell design also brings the CSH high structural strength (92.36% survival rate at a high hydrostatic pressure of 20 MPa) at low density (0.73 g cm–3).