AbstractCoaxial composite fibers with a cortex of polyacrylonitrile (PAN) and a core layer of mesophase pitch (MP) and PAN were prepared by wet spinning, then heat‐treated in air. The effects of heat treatment on the thermal reaction characteristics, pre‐oxidation degree, radial structure, and thermal stability of coaxial composite fibers were studied by differential scanning calorometry, Raman, and thermogravimetric analysis. As the heat treatment temperature increases, the coaxial composite fibers only undergo cyclization without oxidation, the peak temperature of the thermal reaction increases from 258 to 270°C, and the enthalpy increases from 19.66 to 237.82 J g−1, the heat mainly arises from the PAN component. The Dr value of the coaxial fiber skin layer increases from 0.193 to 0.255 (330°C) and then decreases to 0.236; the core layer Dr value increases from 0.353 to 0.392 (310°C) and then decreases to 0.368. The pre‐oxidation reaction leads to an increase in sp2‐hybridized carbons and an increase in pre‐oxidation degree. When the heat treatment temperature <310°C, the pre‐oxidation degree of the composite fibers increases, leading to formation of a more stable structure compared with that at lower temperatures and an increase in the carbon residue rate.