Lignin is the second most abundant and inexpensive natural biopolymers on earth. In this work, lignin/polyacrylonitrile composite fibers were prepared by wet-spinning method. A transition from solid fiber to hollow fiber was observed when the volume fraction of water in a mixed dimethyl sulfoxide/water coagulation bath was increased. The rheological measurements results showed that the spinning solution had no chemical reactions and was stable at the spinning conditions. Lots of interconnected macro- and medium pores (50–90 nm) were formed inside the wall section of these hollow fibers. The change of coagulation solvent had little influence on the outer diameters of the fibers. The formations of the hollow structure and the pores are ascribed to a diffusion controlled procedure. The reaction between formaldehyde and hydroxyl groups (−OH) in lignin molecule was found to improve slightly fiber modulus and thermal stability. This study provides a facial way to prepare lignin-based hollow fibers for many applications.