Metal sulfides hollow structures are advanced materials for energy storage applications of lithium-ion batteries and supercapacitors. However, constructing hollow metal sulfides with specific features, such as multi-shell and non-spherical shape, still remains great challenge. In this work, we firstly demonstrate the synthesis of CuS double-shell hollow nanocages using Cu2O nanocubes as precursors. The synthesis processes involve the repeated anion exchange reaction with Na2S and the controllable etching using hydrochloric acid. The whole synthesis processes are well revealed and the obtained double-shell CuS is tested as pseudocapacitive electrode material for supercapacitors. As expected, the CuS double-shell hollow nanocages deliver high specific capacitance, good rate performance and excellent cycling stability due to their unique nano-architecture. The present work contributes greatly to the exploration of hollow metal sulfides with complex architecture and non-spherical shape, as well as their promising application in high-performance electrochemical supercapacitors.