The fiber bundles from the lignified leaf sheath of windmill palm (Trachycarpus fortunei) are widely used as natural fibers for various products, and exhibit excellent durability. In this study, the cell wall of windmill palm fibers was characterized using transmission electron microscopy, high resolution field emission scanning electron microscopy, and polarized light microscopy, and chemical analysis to measure lignin content. It was found that (1) the secondary wall was composed of just two layers, outer (equivalent to S1, 0.65 ± 0.12 μm) and inner (equivalent to S2, 1.28 ± 0.30 μm) ones, with a high ratio of S1 to the whole cell wall thickness; (2) the microfibrils of the S1 are orientated in an S-helix (MFA, 127.0° ± 2.0), and those of the S2 in a Z-helix (MFA, 43.7° ± 2.2); and (3) the Klason lignin content of fiber bundles was very high (nearly 40%). It is suggested that these structural and chemical features of windmill palm fibers are involved in their mechanical properties such as high flexibility and elasticity, and also related to their high durability.