A novel and facile method to fabricate yolk–shell nanostructured photocatalysts consisting of TiO2 nanoparticles (NPs) as the core and spherical hollow silica as the shell was developed. In the fabrication, commercial TiO2 NPs were directly incorporated into hollow silica spheres by utilizing oil‐in‐water (O/W) microemulsions as a template, followed by heat treatment to create a void space between the TiO2 core and the silica shell region. The synthesized yolk–shell nanostructured TiO2@SiO2 acts as an efficient photocatalyst with both improved adsorption properties and photocatalytic efficiency, which far outperformed those of naked TiO2 owing to the ability of the porous silica shell to adsorb/enrich small organic reactants (acetaldehyde and 2‐propanol) inside the void space and efficient transportation to the adjacent active TiO2 core. Comparative photocatalytic tests using a large organic molecule (conalbumin) revealed that the porous silica shell with an average pore diameter of 2.0 nm endowed this material with a molecular‐sieving property, demonstrating its potential application in combination with organic support materials.