A core–shell structure high voltage spinel cathode material with an average composition of LiMg0.056Ni0.444Mn1.5O4 is firstly designed and synthesized via co-precipitation process. The spherical LiNi0.5Mn1.5O4 core material is encapsulated by a novel thin concentration-gradient shell (CGS) which decreases Ni concentration and increases Mg concentration toward the particle surface, and the composition of the outmost layer of the spherical LiMg0.056Ni0.444Mn1.5O4 is LiMg0.5Mn1.5O4. The electrochemical properties of the LiMg0.056Ni0.444Mn1.5O4 are carefully investigated and compared with the LiNi0.5Mn1.5O4 by electrochemical measurements. It has been found that the electrochemical properties of the LiMg0.056Ni0.444Mn1.5O4 sample are far superior to those of the LiNi0.5Mn1.5O4 sample. The LiMg0.056Ni0.444Mn1.5O4 sample exhibits excellent cycling performance. At 25 °C, it delivers a discharge capacity of 127 mAh g−1 between 3.0 and 4.9 V vs. Li/Li+ with a retention of 98.9% over 200 cycles at a rate of 1C (147 mA g−1). At 55 °C, it delivers a discharge capacity of 128 mAh g−1 with a retention of 99% after 100 cycles in the same charge–discharge condition. Besides, the LiMg0.056Ni0.444Mn1.5O4 shows a good rate capability, it can still deliver a high discharge capacity of 116 mAh g−1 even at a rate of 10C. Therefore, the core–shell structure high voltage spinel cathode material with CGS will be a promising cathode material for advanced lithium ion batteries.