All high capacity Li-alloy anodes for Li-ion battery suffer from enormous volume expansion and extraction during the lithium-ion insertion and extraction process. A Sn-Co-CNT@CNT ternary tube-in-tube nanostructure is prepared by an in situ template technique and shows perfect structure suitability to solve the critical volume change problem. The morphology, size, and quantity of the filled CNT-supported Sn-Co nanoparticles can be also tuned by adjusting the experimental conditions to achieve optimal electrochemical performances. The tube-in-tube product exhibits larger-than-theoretical reversible capacities of 890–811 mA h g−1 at 0.1C in 200 cycles and excellent rate capability and high-rate cycling stability. The excellent electrochemical performance is mainly attributed to the confined volume change in the nanotube cavities and ensured permanent electrical connectivity of the immobilized Sn-Co anodes.