Hollow structures with an efficient light harvesting and tunable interior component offer great advantages for constructing a Z‐scheme system. Controlled design of hollow cobalt sulfide (Co9S8) cubes embedded with cadmium sulfide quantum dots (QDs) is described, using hollow Co(OH)2 as the template and a one‐pot hydrothermal strategy. The hollow CdS/Co9S8 cubes utilize multiple reflections of light in the cubic structure to achieve enhanced photocatalytic activity. Importantly, the photoexcited charge carriers can be effectively separated by the construction of a redox‐mediator‐free Z‐scheme system. The hydrogen evolution rate over hollow CdS/Co9S8 is 134 and 9.1 times higher than that of pure hollow Co9S8 and CdS QDs under simulated solar light irradiation, respectively. Moreover, this is the first report describing construction of a hollow Co9S8 based Z‐scheme system for photocatalytic water splitting, which gives full play to the advantages of light‐harvesting and charges separation. Fair and square: An efficient light‐ harvesting CdS/Co9S8 catalyst was prepared for direct Z‐scheme photocatalytic water splitting. Hollow Co9S8 cubes eliminate photocorrosion phenomena typical of pure CdS quantum dots and improve harvesting of solar light, thus greatly enhancing photocatalytic H2 evolution.