A general self-templating method is introduced to construct triple-shelled CeO₂ hollow microspheres, which are composed of tiny CeO₂ nanoparticles. When the triple-shelled CeO₂ hollow microspheres are used as photocatalysts for direct water oxidation with AgNO₃ as the electron scavenger, excellent activity and enhanced stability for O₂ evolution are achieved, in contrast with commercial CeO₂ nanoparticles, single-shelled CeO₂ hollow microspheres and double-shelled CeO₂ hollow microspheres. Such an outstanding performance is attributed to the unique properties of the triple-shelled CeO₂ hollow microspheres including more efficient multiple reflections of the incident light by the inner shells, the larger surface area and more active sites for improving separation of electron-hole pairs, and the more curved surfaces unfavorable for deposition of in situ generated Ag nanoparticles.