Approximately 60% of hemangioblastomas (HBs) have peritumoral cysts adjacent to the tumor, which can cause neurological deficits due to the mass effect, and the management of cyst formation is a clinical challenge. Vascular mural cells surrounding endothelial cells consist of vascular smooth muscle cells (vSMCs) and pericytes, which are essential elements that support blood vessels and regulate permeability. This study investigated the involvement of mural cells in cyst formation. We analyzed the expression of α-smooth muscle actin (α-SMA), platelet-derived growth factor receptor-beta (PDGFRB), and CD31 in 39 consecutive human cerebellar HBs, 20 of cystic and 19 of solid type. Solid type HBs showed stronger diffuse expression of α-SMA in precapillary arterioles and capillaries within the tumor than cystic type HBs (p = 0.001), whereas there was no difference in PDGFRB and CD31 expression. Detailed observation with immunofluorescence demonstrated that α-SMA was expressed in vascular mural cells surrounding capillaries in the solid rather than in the cystic type. Multivariate analysis including various clinical and pathological factors showed that lower α-SMA expression was significantly correlated with cyst formation (p < 0.001). Our data suggested that vascular mural cells from precapillary arterioles to capillaries expressing α-SMA may be pericytes and play a crucial role in HB cystogenesis.