SiO2/Fe3O4 magnetic double-mesoporous-shelled hollow spheres (DMSHSs) were successfully prepared through a solvothermal method. The DMSHSs formation mechanism was proposed. At the beginning stage, soluble silicate ions were formed through the part of the silica spheres dissolution in the alkaline solution. Fe3+ ions tend to absorbed on the inner and outer surface of the hollow silica spheres, which induced the as-formed Fe3O4 anchored at the silica surface. Subsequently, the DMSHSs were generated through little by little dissolution of the silica. The as-prepared DMSHSs showed excellent catalytic activity in Fenton reaction for rhodamine B (RhB) degradation than the SiO2/Fe3O4 magnetic single-mesoporous-shelled hollow spheres (SMSHSs). About 97% of RhB was degraded under pH = 6.12, 0.2 g/L of DMSHSs, 1 mL of H2O2 and 20 mg/L of RhB with visible light irradiation for 180 min. The DMSHSs can be magnetically separated from the solution and possess good reusability. Simultaneously, the mechanism for the Fenton process was investigated. These results indicated that the as-formed DMSHSs may show great application prospects in Fenton field.