In an attempt to improve the photocatalytic activity of anatase TiO2, we developed a composite photocatalyst composed of hollow TiO2 microspheres (hTS) and graphene. The hTS were prepared through a two-step hydrothermal process, where SiO2 microspheres with desirable diameters of 100–400 nm were used as sacrificial templates. Accordingly, the effect of the hTS cavity size on the activity of the catalyst in wet CO2 photoreduction (CO2PR) was studied. Furthermore, it was established that the hydrothermal pH value crucially influences the photocatalytic activity of the hTS photocatalyst, as well as its composition and microstructure. The hTS photocatalyst was also combined with graphene (0–90 wt%) to improve its photocatalytic activity. This study provides insight into the optimal microsphere diameter, hydrothermal pH value, and graphene/hTSx ratio required for designing hollow microsphere-based photocatalysts with enhanced CO2PR performances.