A novel kind of yolk–shell microspheres was presented in this Letter. First, 250 nm of magnetic Fe₃O₄ nanoparticles was prepared by solvothermal reaction. Then, the Fe₃O₄ particles were coated with Au nanoparticles (AuNPs), SiO₂, and poly(N-isopropylacrylamide) (PNIPAM). After the removal of the SiO₂ layer by etching with HF solution, the yolk–shell microspheres were prepared. Each yolk–shell microsphere had a movable core (Fe₃O₄ self-assembled AuNPs) and temperature-responsive shell (PNIPAM). The yolk–shell structure of these microspheres was confirmed by transmission electron microscopy and Fourier-transform infrared spectroscopy. The catalytic performances of these yolk–shell microspheres were investigated under different environmental temperatures. The results indicated that the reduction from 4-nitrophenol to 4-aminophenol by NaBH₄ was slowed when the temperature was increased because of the hydrophobic and the shrinking sate of PNIPAM shell and the yolk–shell microspheres had a characteristic of temperature switch on/off when the cross-linking degree was about 20%.