Polymer-encapsulated aerogel fibers with high porosity, low density, and good mechanical properties are promising candidates for thermal insulation materials. However, the fabrication of polymer-encapsulated aerogel fibers needs complex processes, which hinders continuous and large-scale fabrication. Herein, we developed a simple yet efficient strategy to continuously fabricate polymer-encapsulated aerogel fibers through coaxial wet spinning followed by conventional freeze drying. The coaxial wet-spinning step features stepwise coagulations containing an inner aerogel precursor as the first coagulation bath and a subsequent water bath as the second coagulation bath. The morphology of polymer-encapsulated aerogel fibers exhibits a porous aerogel network structure of the core layer and porous sheath layer. Thus, the as-prepared aerogel fiber, with cellulose acetate/poly(acrylic acid) (CA/PAA) as the sheath layer and a cellulose nanofiber (CNF) aerogel as the core, possesses low sheath layer density (0.25 g cm −3 ) and high aerogel core porosity (99.34%). Due to the good mechanical properties of the CA/PAA sheath, the CA/PAA@CNF aerogel fiber shows a high tensile strength of 5.83 MPa. Moreover, the CA/PAA@CNF aerogel fiber exhibits an excellent thermal insulation performance (0.054 W m −1 K −1 ) ascribed to the multistage porous structure of the fiber, which can significantly reduce heat convection and heat transfer. The good mechanical properties and excellent thermal insulation performance endow the polymer-encapsulated aerogel fibers with promising application in the field of personal thermal management.