In the present work, the phase change material dodecanol (DD) and the polymer polyvinyl alcohol (PVA) was used as the oil phase and water phase, respectively, to prepare the oil-in-water (O/W) core-sheath structured nanofibers. The forming mechanism of the core-sheath structure of O/W emulsion electrospun nanofibers has been studied. During emulsion electrospinning, the oil phase droplets are polarized, stretched, deformed and merged under the dual action of water phase and electric field force, resulting in the phase separation within jet to form core-sheath structured fibers. Then, the influences of the contents of water phase and oil phase materials on the fiber structures and phase change performances were explored. With a water phase content ≥10 wt% and an oil phase content ≤8 wt%, the fibers can exhibit an obvious core-sheath structure. It was shown that the nanofibers prepared using 10 wt% PVA and 8 wt% DD have a phase transition enthalpy as high as 67 J/g and a good thermal cycle stability with a loss rate of melting enthalpy as low as 0.3%. The results reported would be useful for the phase change temperature regulation based on the emulsion electrospun core-sheath structured nanofibers.