Pesticide residues as an enormous menace to human health and environment have gained increasing attention in recent years. Powerful analytical methods are of great significance to monitor the levels of pesticide residues. Whereby, surface-enhanced Raman scattering (SERS) with its outstanding performance in ultra-sensitivity, non-destructive and the capability for molecular fingerprint has been employed in the relevant research. In more recent studies, core–shell nanostructures with multiple components have been applied as novel SERS substrates to accelerate the advancement of pesticide detection. Here, we provide a comprehensive review about the latest progress in the development of core–shell nanostructures for rapid SERS detection of pesticide residues. Various core–shell nanostructures are classified into metal and non-metal shell types including Au@Ag, FeO@noble metal, SiO@noble metal, noble metal@SiO and others. Beyond reviewing different enhancement mechanisms of SERS, we also evaluate their strengths and shortages. Moreover, the feasibility of early-warning analysis of frequently used pesticides including carbamate, organophosphate, nitrogen heterocycle, pyrethroid and others are highlighted. It is expected that this review article will provides a clear reference for the future development of core–shell SERS substrates, and especially for applying them in various fields such as food safety, environmental monitoring, and agriculture protection.