In this study, bio-based phase change material (bio-PCM) was successfully encapsulated in ultrafine fibers via coaxial electrospinning technique. Natural soy wax was used as the bio-PCM for thermal storage and Polyurethane (PU) was used as the shell material for encapsulation. The bio-PCM fibers were characterized by environmental scanning electron microscopy (ESEM), transmission electron microscopy (TEM), differential scanning calorimetry (DSC), and X-ray Diffraction (XRD). The results indicate that coaxial electrospinning resulted in a uniform fiber morphology with a core-shell structure, and a homogeneous wax distribution throughout the core of the fibers. Thermal analysis results show that the enthalpy increases with wax content. The fibrous structures exhibited balanced thermal storage and releasing properties for thermo-regulating functions. The thermal properties were unaltered after 100 heating-cooling test cycles, demonstrating that the composite fibers have good thermal stability and reliability.