MgO hollow nanospheres were produced via one-step laser synthesis in both gas and liquid media. The formation mechanism of MgO hollow nanospheres was investigated by adopting high-speed photography and performing control experiments under different oxidization conditions. The results indicated that the in situ Kirkendall effect is responsible for the formation of the hollow nanospheres. Blue emission was observed from the MgO hollow nanospheres produced in a liquid medium, and is ascribed to the surface state arising from the organic modification.