The aim of this study was to fabricate the nanocapsules and nanofibers with latent heat energy storage properties. Therefore, phase change materials based on fatty alcohols were used as latent heat energy storage materials. N-Dodecanol and 1-tetradecanol fatty alcohols were nanoencapsulated by poly(methyl methacrylate-co-methacrylic acid) (p(MM-co-MA)) wall using emulsion polymerization method. Prepared nanocapsules were incorporated in polyacrylonitrile nanofibers using the co-axial electrospinning method. In this study, a two-stage (TS) emulsion polymerization process was defined and compared to the known emulsion polymerization method defined as one-stage (OS). Nanocapsules were characterized by Fourier-transform infrared (FT-IR) spectroscopy, transmission electron microscopy (TEM), differential scanning calorimeter (DSC), and thermogravimetric analyzer (TGA). According to the results, typical core-shell structured, spherical-shaped, uniform nano-sized particles having high thermal stability and energy storage capacity were fabricated successfully. Enthalpy values of the nanocapsules prepared by the TS process were higher and reached up to 171 J/g. It was concluded that the thermal degradation stability of the nanocapsules could be improved using the TS emulsion polymerization method. Moreover, the nanocapsules were incorporated in polyacrylonitrile nanofibers using the co-axial electrospinning method, and composite nanofibers having 19 J/g energy storage capacities were produced. Although the surfaces of the prepared coresheath structured nanofibers were rough and coarse, their diameter distribution was unimodal.