Magnetic continuum millirobots have presented outstanding potential in ultrahigh-precision engineering including minimally invasive surgery, due to their flexible mechanical structures and dexterous manipulation. Traditional continuum millirobots exhibit limited cargo-loading capacity, which restricts their application. Herein, we propose a novel design scheme of a magnetically actuated untethered hollow continuum millirobot. The millirobot is composed of silicone as the mainframe structure and two tiny magnets for actuation. To improve the loading capacity, partial silicone is removed to create a flexible cavity, which enables cargo delivery and potential in vivo sampling functions under wireless magnetic actuation. Theoretical analysis and experimental testing are conducted to reveal the effectiveness of the proposed design. The soft structure brings a new strategy to achieve multimodal motion including rolling, tumbling, and swinging. Moreover, the magnet part can generate a powerful magnetic force output for dexterous manipulation. These functionalities lay a foundation for playing a greater role in next-generation biomedical applications.