Solar energy is one of the most promising alternative of fossil fuels and supplement of current energy consumption structure in the future to tackle increasingly serious energy crisis and environmental problems. The capture and utilization of solar/light energy have focused on four main categories, namely photo-thermal conversion, photo-electrical conversion, photo-chemical conversion and photoluminescence. They all involve with several major steps, which is the capture of photons, the absorption and conversion of photons, and the physical/chemical process on the surfaces/interfaces. In order to achieve high light energy conversion efficiency, to design excellent photo-functional materials as the media is the key point. Generally, photo-functional materials should process the corresponding advantages: (1) Good light harvesting ability; (2) efficient conversion of photons; (3) favored transportation of photo induced carriers; (4) accelerated reactions on the surface. Recently, hollow multi-shelled structures (HoMSs) material has shown its great potential for an advanced photo-functional material. As a class of special hierarchical micro/nanostructures, HoMSs material has more than one shell with corresponding internal cavities, and the multiple shells are arranged in order from outside to inside. Till now, HoMSs material has raised hot research topics in a wide range of fields including sensors, catalysts, adsorbents, drug cargos and so on. Specifically, theoretical and experimental results have discovered that the unique characteristics or features of HoMSs are extremely suitable for photo-related process, which gives many outstanding advantages in the field of light energy conversion. Excellent works have been published by groups across the world. It is about time to summarize recent works on using HoMSs as media for light conversion which converting light to other forms of energy. Starting from the merits of HoMSs photofunctional materials in the process of light energy conversion, we will discuss the efficient light capture ability, enhanced photogenerated charge separation ability, and flexible/adjustable shell-wall composition of different HoMSs in details. Sufficient comparisons of HoMSs with other materials will be made, which will clearly demonstrate how they effectively improve the overall conversion efficiency of the materials. Then we surveyed papers on different applications in the fields of photocatalysis, solar cell, photoluminescence, and so on. We also provide personal prospects for the opportunities and challenges in future development of the HoMSs photo-functional materials.