Hollow spheres of heavy lanthanide orthovanadates (LnVO(4), Ln = Tb, Dy, Er, Tm, Yb, Lu) and yolk shell structures of Ho(OH)CO3@HoVO4 have been successfully prepared by employing Ln(OH)CO3 colloidal spheres as a sacrificial template and NH4VO3 as a vanadium source. In particular, the as-obtained LuVO4 hollow spheres are assembled from numerous hollow-structured elliptic nanoparticles, and their textural parameters such as the inner and outer diameters, shell thicknesses, and number of shells could be finely tuned through introducing different amounts of NH4VO3 and employing Lu(OH)CO3 templates with different sizes. The possible mechanisms for the formation of hollow spheres and yolk shell structures, and also the hollow-structured elliptic nanoparticles of LuVO4, i.e., building blocks of LuVO4 hollow spheres, are proposed and discussed in detail. Under ultraviolet excitation, the obtained LuVO4:Eu3+ hollow spheres show strong red emissions located in the saturated color region, and the modulation of emission intensity and color purity could be realized by tuning the textural parameters of the obtained hollow spheres. It was found that the nanostructure of the building blocks of LuVO4:Eu3+ hollow spheres also had an effect on the luminescent properties of the as-obtained materials. Moreover, the quantum efficiency could be affected by the textural parameters of the as-obtained LuVO4:Eu3+ hollow spheres, and the double-shelled LuVO4:Eu3+ hollow sphere has the highest quantum efficiency. In addition, the excellent biocompatibility indicates the potential biological applications of LuVO4 hollow spheres.