The spray-pyrolysis of borazine at 1400 °C under nitrogen generates boron nitride (BN) nanoparticles (NPs). The as-prepared samples form elementary blocks containing slightly agglomerated NPs with sizes ranging from 55 to 120 nm, a Brunauer-Emmett-Teller (BET)-specific surface area of 34.6 m2 g−1 and a helium density of 1.95 g cm−3. They are relatively stable in air below 850 °C in which only oxidation of the NP surface proceeds, whereas under nitrogen, their lower size affects their high temperature thermal behavior in the temperature range of 1450–2000 °C. Nitrogen heat-treated nanostructures have been carefully analyzed using X-ray diffraction, electron microscopy and energy-dispersive X-ray spectroscopy. The high temperature treatment (2000 °C) gives hollow-cored BN-NPs that are strongly facetted, and after ball-milling, hollow core-mesoporous shell NPs displaying a BET-specific surface area of 200.5 m2·g−1 and a total pore volume of 0.287 cm3·g−1 were produced. They have been used as host material to confine, then destabilize ammonia borane (AB), thus improving its dehydrogenation properties. The as-formed AB@BN nanocomposites liberated H2 at 40 °C, and H2 is pure in the temperature range 40–80 °C, leading to a safe and practical hydrogen storage composite material.