Colloidal silica spheres with controllable large through-holes and mesopores on the shell were synthesized by using polystyrene (PS) spheres as a hard template and cationic surfactant hexadecyl trimethylammonium bromide (CTAB) as a soft template. Through modulating the synthetic conditions, including the volume ratio of ethanol (EtOH)/water, the amount of ammonia hydroxide, and the dosage of CTAB, SiO2 spheres can transform among hollow structure, through-hole structure, and no large pore structure. The investigation suggests that the hydrolysis rate of the silica source and the interaction strength between the PS sphere template and SiO2 may determine the large pore structure of the final product. The moderate hydrolysis rate of tetraethyl orthosilicate (TEOS) and strong interaction between the PS sphere template and SiO2 is conductive to the formation of large through-holes in SiO2 spheres. To further investigate the pore structure of through-holes of SiO2 spheres, the lysozyme (Lz) was selected as a model molecule for adsorption experiments. The Lz adsorption experiments show that SiO2 spheres with through-hole structure exhibit a much faster adsorption rate than SiO2 spheres with hollow structure and higher adsorption capacity than SiO2 with no large pore structure. Such a behavior could find interesting applications in the fields that require a fast-loading characteristic.