Magnetic yolk-shell MSP@ZrO2 microspheres consisting of a movable magnetic supraparticle (MSP) core and a crystalline ZrO2 shell were synthesized via a two-step controlled "sol-gel" approach for the first time. First, a large amount of the generated hydrolyzate Zr(OH)4 was firmly fixed onto the surface of the cross-linked polymethylacrylic acid matrix via a strong hydrogen-bonding interaction between Zr(OH)4 and the carboxyl groups. Then a calcination process was adopted to convert the Zr(OH)4 into a continuous ZrO2 shell and simultaneously make the ZrO2 shell crystallized. At the same time, the polymer matrix could be selectively removed to form a yolk-shell structure, which has better dispersibility and higher adsorbing efficiency of phosphopeptides than its solid counterpart. The formation mechanism of such yolk-shell microspheres could be reasonably proved by the results of TEM, TGA, VSM, XRD, and FT-IR characterization. By taking advantage of the unique properties, the yolk-shell MSP@ZrO2 exhibited high specificity and great capability in selective enrichment of phosphopeptides, and a total of 33 unique phosphopeptides mapped to 33 different phosphoproteins had been identified from 1 mL of human saliva. This result clearly demonstrated that the yolk-shell MSP@ZrO2 has great performance in purifying and identifying the low-abundant phosphopeptides from real complex biological samples. Moreover, the synthetic method can be used to produce hybrid yolk-shell MSP@ZrO2-TiO2.