• A volume-confinement strategy was proposed to prepare highly anisotropic filament. • An exceedingly high axial thermal conductivity of 9.22 W/m K was achieved. • The filament enables efficient body-heat harvesting for thermoelectric wearables. Polymer-based 1D materials with excellent axial thermal conductivity and electrical resistivity are highly demanded for thermal management in wearable electronics. In the last decades, boron nitride nanosheets (BNNS) were commonly introduced into polymer-based materials for improving their thermal conductivity, while they were mainly focused on 2D papery film or 3D bulk composite materials. 1D polymer/BNNS composite filaments are far from a rapid development, and their axial thermal conductivity is still restricted to a low value (<5 W/m K), mainly because of insufficient orientation and low addition of BNNS. Herein, a highly thermo-conductive but electrically insulating regenerated cellulose (RC)/BNNS composite filament is fabricated by a volume-confinement self-assembled method in a wet-spinning procedure, in which large-sized BNNS are mandatorily confined within the limited region among adjacent RC nanofibers at BNNS loading of 60 wt%. Attributed to its highly anisotropic conformation, the as-prepared composite filament exhibits an ultra-high thermal conductivity of 9.22 W/m K, about 4.5-fold of non-confined RC/BNNS counterpart. After being weaved into a textile and integrated with a thermoelectric generator (TEG), it enables TEG to efficiently harvest energy from body heat and continuously self-power some wearable electronics, demonstrating a significant proof of concept for its extraordinary wearable thermal management applications.