Nanofibrous scaffolds are widely investigated for tendon tissue engineering due to their porous structure, high flexibility, and the ability to guide cells in a preferred direction. Previous research has shown that providing a microenvironment similar to in vivo settings improves tissue regeneration. Therefore, in this work, ingenious multicomponent nanoyarn scaffolds that mimic the fibrillar and tubular structures of tendons are developed for the first time through electrospinning and bundling nanoyarns followed by electrospinning of a nanofibrous shell around the bundle. Multicomponent nanoyarn scaffolds out of poly(ε-caprolactone) with varying porosity, density, and diameter were successfully produced by coelectrospinning with water-soluble poly(2-ethyl-2-oxazoline) as a sacrificial component. The diameter and fiber orientation of the nanoyarns were successfully tuned based on parameter-morphology models obtained by the design of experiments. Cyclic bending tests were performed, indicating that the flexibility of the multicomponent nanoyarn scaffolds depends on the morphology and can be tuned through controlling the number of nanoyarns in the bundle and the porosity. Indirect and direct cell culture tests using mouse and equine tendon cells revealed excellent cytocompatibility of the nanofibrous products and demonstrated the potential of the nanoyarns to guide the growing cells along the nanofiber direction, which is crucial for tendon tissue engineering.