Cellulose acetate (CA) ultrafine hollow fibres containing model core protein (i.e., gelatin) were fabricated by coaxial electrospinning. Proper conditions to fabricate the core-shell fibres were investigated with respect to the solution properties (i.e., viscosity, electrical conductivity, surface tension, and interfacial tension) as well as feed rates of core and shell solutions. The core-shell coaxial structures and fibre morphology were examined by transmission electron microscopy and scanning electron microscopy, respectively. In addition, the release characteristics of the coaxial fibrous film were examined in phosphate buffer solution pH 7.4 at 37°C. The average diameter of the fibres was 392 ± 96 nm, which increased as the core solution feed rate increased. The release mechanism of the gelatin from the fibrous film was anomalous diffusion and exhibited a near zero-order release pattern with a release half-life of ∼7.4 days. The fibrous films immersed in the PBS for 20 days were still intact without bursting. The structure of hollow ultrafine fibres of CA (in form of fibrous film) is expected to hold potential for some proteinaceous pharmaceutical/food compounds sustained release in gastro-intestinal tract.