We present a study of the volume transition in colloidal particles composed of a temperature independent core and a shell of thermosensitive crosslinked polymer chains by small‐angle X‐ray scattering (SAXS). The poly(styrene) (PS) cores of the particles have a diameter of 80 nm whereas the shell composed of cross‐linked poly(N‐isopropylacrylamide) has a thickness of 32 nm in the swollen state at 25°C which shrinks to 18 nm at 50°C during a continuous volume transition. The SAXS‐intensities measured at high scattering angles could be described by a Lorenz‐type function at both states. This indicates the presence of marked liquid‐like local concentration fluctuations of the gel with a correlation length ξ of the order of a few nanometers even in the collapsed state (25°C: ξ = 3.2 nm; 50°C: ξ = 2.1 nm). The analysis thus shows that the core‐shell microgels behave in a distinctly different manner than ordinary thermosensitive gels. This is discussed in terms of the spatial constraint exerted by the core‐shell morphology onto the network.