Core–shell fibers of polymethyl methacrylate (PMMA) and polystyrene (PS) have been successfully electrospun by coaxial electrospinning. To evaluate the influence of the solvent on the final fiber morphology, four types of organic solvents were used in the shell solution while the core solvent was preserved. Morphological observations with scanning electron microscopy, transmission electron microscopy and optical microscopy revealed that both core and shell solvent properties were involved in the final fiber morphology. To explain this involvement, alongside a discussion of the Bagley solubility graph of PS and PMMA, a novel criterion based on solvent physical properties was introduced. A theoretical model based on the momentum conservation principle was developed and applied for describing the dependence of the core and shell diameters to their solvent combinations. Different concentrations of core and shell were also investigated in the coaxial electrospinning of PMMA/PS. The core–shell fiber morphologies with different core and shell concentrations were compared with their single electrospun fibers.