Thermo-regulated fibers, which contain phase change materials with a melting temperature close to human body temperature, have attracted great scientific attention. Nanofibers with poly(n-tetradecyl acrylate-co-n-hexadecyl acrylate) (poly(TDA-co-HDA)) as the core material and poly(acrylonitrileco-vinylidene chloride) (P(AN-co-VDC) as the sheath were successfully fabricated by coaxial electrostatic spinning technology. The synthesized fibers possessed a sheath/core structure with a melting temperature of approximately 28 °C and an enthalpy of 28 J/g. Coaxial electrostatic spinning was further used to fabricate core-spun yarns using graphene-added PHDA, P(TDA-co-HDA), and P(TDA-co-HDA) as core materials and P(AN-co-VDC) as the sheath to wrap modified poly(ethylene terephthalate) (PET)/ poly(n-hexadecyl acrylate) (PHDA) thermo-regulated filaments. The resultant core yarns were completely wrapped by nanofibers, and the enthalpy was about 25 J/g. The fabricated yarns significantly increased the static air adsorption capacity. Infrared photos proved that these yarns improved the thermal insulation performance and prolonged the temperature-regulating period. Therefore, fabrics made of these yarns can act as novel smart materials for temperature-control applications.