We describe the co-electrospraying of hollow microspheres from a polycaprolactone (PCL) shell solution and various core solutions including water, cyclohexane, poly(ethylene oxide) (PEO), and polyethylene glycol (PEG), using different collectors. The morphologies of the resultant microspheres were characterized by scanning electron microscopy (SEM), confocal microscopy, and nano-X-ray computed tomography (nano-XCT). The core/shell solution miscibility played an important role in the co-electrospraying process and the formation of microsphere structures. Spherical particles were more likely to be produced from miscible combinations of core/shell solutions than from immiscible ones. Hollow PCL microspheres with a single hole in their surfaces were produced when an ethanol bath was used as the collector. The mechanism by which the core/shell structure is transformed into single-hole hollow microspheres is proposed to be primarily based on the evaporation through the shell and extraction by ethanol of the core solution and is described in detail. Additionally, we present a 3D macroscopic tubular structure composed of hollow PCL microspheres, directly assembled on a copper wire collector during co-electrospraying. SEM and nano-XCT confirm that microspheres in the 3D bulk structure remain hollow.