Nanosized Au catalysts suffer from serious sintering problems during synthesis or catalytic reactions at high temperatures. In this work, we integrate dumbbell-shaped Au-Fe3O4 heterostructures into hollow ZrO2 nanocages to make Au-Fe2O3@ZrO2 yolk-shell nanoreactors with high activity as well as ultra-high sintering resistance for high-temperature CO oxidation. The synthesis starts with the fabrication of a (Au-Fe3O4)@SiO2@ZrO2 core-shell nanostructure with a Au-Fe3O4 dumbbell nanoparticle (DB) core and SiO2/ZrO2 double shells, followed by calcination and the selective removal of the inner SiO2 shell with alkaline solution to obtain Au-Fe2O3@ZrO2 nanoreactors. The retained ZrO2 hollow (outer) shells protect the Au NPs from aggregation at temperatures up to 900 °C and show excellent long-term stability. Compared to Au@ZrO2 yolk-shell nanoreactors, Au-Fe2O3@ZrO2 shows improved activity in CO oxidation due to the active Au-Fe2O3 interface. This strategy can be extended to other yolk-shell nanoreactors with various nanocomposites and for different catalytic reactions.