In this paper, a composite yolk–shell microsphere (TiO₂@h-CeO₂) with TiO₂ as a core and CeO₂ as a shell was successfully synthesised. The intermittent SiO₂ layer protective method was carried out to protect the microstructure and crystalline phase of TiO₂@h-CeO₂ during calcination. The morphology, chemical composition, and optical properties of TiO₂@h-CeO₂ were confirmed by systematic characterization techniques, including SEM, HRTEM, XRD, Raman spectroscopy, FT-IR and UV-vis DRS. The effect of the SiO₂ protective method on the crystallisation temperature was also examined. The catalytic activity of TiO₂@h-CeO₂ was evaluated by photodegradation of methylene blue. As compared with the anatase sphere, hollow-CeO₂ (h-CeO₂), and mixture of an anatase sphere & h-CeO₂, TiO₂@h-CeO₂ exhibited an enhanced photocatalytic efficiency. It is hypothesised that hydrophilia of the CeO₂ shell, as compared to the anatase sphere, would adsorb more water, and the contribution of both CeO₂ and TiO₂ would improve the generation of photo-produced holes. Hence, it is beneficial to combine absorbed water and holes to form hydroxyl radicals. Further evidence for improvement in photocatalytic activity was also established.