In order to clarify the effect of feeding rate ratio (Rsr) for polylactic acid (PLA) to polyethylene glycol (PEG) on the performance of thermal regulation nanofibers, PLA and PEG solutions were used as the outer and inner spinning solutions, respectively, to develop PLA/PEG nanofibers (NFp‐p) through coaxial electrospinning. NFp‐p nanofibers with Rsr of 2:1, 3:1, and 4:1 were labeled PR1, PR2, and PR3, respectively. The morphology, chemical structure, mechanical properties, and thermal performance of NFp‐p were tested, and the thermal regulation function was investigated. The results showed that increasing Rsr could increase the diameter of NFp‐p, with PR1 having the smallest average diameter (520 nm). PR1 had the lowest water contact angle (122.4°), and higher Rsr enhanced the encapsulation effect of PLA on PEG. The mechanical properties of NFp‐p were significantly improved compared to pure PLA, with PR1 and PR3 exhibiting the highest breaking stress (2.5 MPa) and breaking strain (213%). The thermal performance of NFp‐p could be regulated by Rsr, with PR1 showing a more pronounced endothermic peak due to the melting of PEG, and the highest phase‐change enthalpy (13.2 J/g). Lower Rsr enhanced the thermal regulation function of NFp‐p, and PR1 showed superior thermal regulation performance.