In order to gain an understanding of the process of Lyocell fiber formation, the melting and solidification behaviors, heat capacity and density of cellulose N-methylmorpholine-N-oxide monohydrate (NMMO-MH) solutions were studied by differential scanning calorimetry (DSC) and dilatometry, and the diameter development of Lyocell fibers in the air gap was measured online. It was found that the Lyocell process can be considered as both a melt–spinning process in the air gap and a wet-spinning process in the coagulation bath. Cellulose chains in the solutions hindered the crystallization of NMMO-MH, and the melting point of the solutions decreased with increasing cellulose concentration. The density of cellulose NMMO-MH solutions decreased linearly with increasing temperature in the solid or the liquid state, and it increased with increasing cellulose concentration. The heat capacity of the solutions increased slightly with increasing temperature and concentration. The development of fiber diameter, the velocity gradient, and the gradient of the filaments in the air gap were limited to a short distance from the spinneret orifice. The position at which the velocity and the tensile stress gradient reached their maximum values moved closer to the spinneret orifice with increasing take-up speed.