In this study, phase change nanofiber hollow yarns were designed. The hollow yarn structure is proposed due to its ability to provide insulation for fabrics, while the phase change material is added due to its capacity to store thermal energy. These yarns are developed by utilizing the classical covering–dissolving strategy, which uses a modified multi-step twisting method. The effects of twisting and winding speed on the yarn morphology, structure, mechanical and heat storage properties are discussed. It is observed that the ultrafine fibers for yarn fabrication are about 100–400 nm in diameter. Their yarn products then undergo obvious shape deformation in the process of hollowing, resulting in a nanofiber hollow yarn with yarn diameter of around 250 µm. To obtain target yarns with desirable structure and strength, the recommended twisting and winding speed should be within 200–260 rpm and 1.2–1.6 rpm, respectively. Their tensile strength and elongation at break under these conditions are tested to be about 30–40 MPa and 20%, respectively, which is acceptable for further weaving. As for the heat storage capacity, it is somewhat weakened but still considerable (20–30 kJ·kg–1) within the temperature range of 30–40℃. By coupling air and phase change materials together, the resultant nanofiber hollow yarns and their fabric products proved to have better heat storage and insulation performance, and may have broad prospects for thermal regulation.