A continuous, single‐step, and large‐scale preparation of Pd‐catalyst‐loaded SnO2 yolk–shell spheres is demonstrated. These nanostructures show an unusually high response and selectivity to methyl benzenes, such as xylene and toluene, with very low cross‐responses to various interfering gases, making them suitable for precise monitoring of indoor air quality. A yolk with many shells: A continuous, single‐step, and large‐scale preparation of Pd‐catalyst‐loaded SnO2 yolk–shell spheres is demonstrated (see figure). These nanostructures show an unusually high response and selectivity to methyl benzenes, such as xylene and toluene, with very low cross‐responses to various interfering gases, making them suitable for precise monitoring of indoor air quality.