Paraffin wax (PW) is widely used for smart thermoregulation materials due to its good thermal performance. However, the leakage and low thermal conductivity of PW hinder its application in the heat storage field. Accordingly, developing effective methods to address these issues is of great importance. In this study, we explored a facile approach to obtain PW-loaded core-sheath structured flexible nanofibers films via coaxial electrospinning technique. The PW as the core layer was successfully encapsulated by the sheath-layer poly(methyl methacrylate). The diameter of the fiber core increased from 395 to 848 nm as the core solution speed rate increased from 0.1 to 0.5 mL/h. In addition, it can be seen that higher core solution speed rate could lead to higher PW encapsulation efficiency according to the transmission electron microscopy results. The core-sheath nanofiber films, moreover, possessed the highest latent heat of 58.25 J/g and solidifying enthalpy of –56.49 J/g. In addition, we found that after 200 thermal cycles, there was little change in latent heat, which demonstrated that it is beneficial for the PW-loaded core-sheath structure to overcome the leakage issue and enhance thermal stability properties for the thermoregulation film.