A typical type of core–shell polyoxometalates can be obtained through the Keggin-type polyoxometalate-templated growth of a layer of spherical shell structure of {Mo72Fe30}. Small-angle X-ray scattering is used to study the structural features and stability of the core–shell structures in aqueous solutions. Time-resolved small-angle X-ray scattering is applied to monitor the synthetic reactions, and a three-stage formation mechanism is proposed to describe the synthesis of the core–shell polyoxometalates based on the monitoring results. New protocols have been developed by fitting the X-ray data with custom physical models, which provide more convincing, objective, and completed data interpretation. Quasi-elastic and inelastic neutron scattering are used to probe the dynamics of water molecules in the core–shell structures, and two different types of water molecules, the confined and structured water, are observed. These water molecules play an important role in bridging core and shell structures and stabilizing the cluster structures.