The formation and stability of collisionless self-gravitating systems is a long standing problem, which dates back to the work of D. Lynden-Bell on violent relaxation, and extends to the issue of virialization of dark matter (DM) halos. An important prediction of such a relaxation process is that spherical equilibrium states can be described by a Fermi-Dirac phase-space distribution, when the extremization of a coarse-grained entropy is reached. In the case of DM fermions, the most general solution develops a degenerate compact core surrounded by a diluted halo. As shown recently, the latter is able to explain the galaxy rotation curves while the DM core can mimic the central black hole. A yet open problem is whether this kind of astrophysical core-halo configurations can form at all, and if they remain stable within cosmological timescales. We assess these issues by performing a thermodynamic stability analysis in the microcanonical ensemble for solutions with given particle number at halo virialization in a cosmological framework. For the first time we demonstrate that the above core-halo DM profiles are stable (i.e. maxima of entropy) and extremely long lived. We find the existence of a critical point at the onset of instability of the core-halo solutions, where the fermion-core collapses towards a supermassive black hole. For particle masses in the keV range, the core-collapse can only occur for Mvir ≳ E9M⊙ starting at zvir ≈ 10 in the given cosmological framework. Our results prove that DM halos with a core-halo morphology are a very plausible outcome within nonlinear stages of structure formation.