Sheath–core polyacrylonitrile (PAN)/poly(methyl methacrylate) fibers were spun through bi-component dry-jet gel-spinning method and were used for fabricating hollow carbon fibers. After optimizing stabilization and carbonization conditions, the resulting PAN-based hollow carbon fibers possessed an average strength and modulus of 3.16 and 275 GPa, respectively. Additionally, 1 wt% carbon nanotubes (CNTs) were added to PAN portion to form PAN+CNT sheath. The PAN+CNT-based hollow carbon fiber had an average strength of 3.24 GPa and modulus of 254 GPa. These hollow carbon fibers can be used for fabricating low density and high performance structural composite materials.