Hollow metal oxide semiconductor (MOS) materials with controllable shells have attracted increasing attention because of their interesting properties and potential applications in sensors, catalysis, biology, etc. Cuprous oxide (Cu2O), which is a typical p-type semiconductor material, has four kinds of nanostructures (i.e., single-, double-, triple-, and quadruple-shelled spheres) and was successfully synthesized by the simple regulation of hexadecyl trimethyl ammonium bromide (CTAB) concentration. All as-obtained samples were at the nanometer level, and the hollow layers were also located between the two shells of the Cu2O nanostructures. The structural evolution and formation mechanism of the core-in-hollow multishelled nanostructure were also studied in this work. Moreover, the gas sensing performance of four kinds of materials was measured. The performance of the quadruple-shelled Cu2O-based formaldehyde (HCHO) sensor was greater than that of other sensors. The results indicated that the well-defined multishelled structure may significantly enhance HCHO detection by facilitating the gas adsorption quantity and transport rate.