Rare earth (RE) phosphates and vanadates are structurally similar compositions that display distinct but complementary luminescent properties. The properties of these phosphors can be combined in REPO4-REVO4 heterostructures during the development of new sensing technologies for biological applications. This work presents the synthesis of hollow RE phosphate/vanadate colloidal particles and evaluates their applicability as luminescent markers. Hydrothermal treatments of RE hydroxycarbonate particles in the presence of the PO43– and VO43– precursors afforded the final REPO4–REVO4 solids in a two-step template synthesis. We converted precursor hydroxycarbonate particles into the final heterostructures and characterized their structure and morphology. According to our detailed study into the spectroscopic properties of Eu3+-doped particles and their luminescence response to several species, the presence of the phosphate and vanadate phases in a single particle provided different chemical environments and enabled the design of a ratiometric approach to detect H2O2. These results open new perspectives for the development of new intracellular luminescent markers.