Using polyethylene as carbon precursor, we have fabricated cost-effective carbon fibers with a sheath-core structure via conjugate melt spinning. Low-density polyethylene (LDPE) and high-density polyethylene (HDPE) were used as the sheath and core of the fiber, respectively, while sulfonation with sulfuric acid was conducted to enable the crosslinking of polyethylene. We demonstrated that carbonization and activation of the sheath-core-structured polyethylene fiber can result in a well-developed microporous structure in the sheath layer, and due to the core-sheath structure, the resulting activated carbon fibers exhibit a high tensile strength of ~455 MPa, initial modulus of ~14.4 GPa, and Brunauer-Emmett-Teller (BET) surface area of ~1224 m2/g. Finally, activated carbon fibers with a hollow, sheath-core, and porous were successfully fabricated by controlling the degree of crosslinking of the LDPE/HDPE sheath-core fiber.