The very thin and lightweight silkworm cocoon has outstanding mechanical properties attributed to its specific composite microstructure. However, the microstructures of the cocoons have not been studied quantitatively, and their anti-puncture performance has not been examined as well. In this study, both domesticated ( Bombyx mori) and wild silkworm cocoons ( Antheraea pernyi, Antheraea mylitta and Samia canningi) were investigated for their microstructures using fractal theory, and their quasi-static puncture resistance was tested and compared. In addition, the effects of cocoon layers and hot-press treatments on the puncture resistance of two cocoon types ( B. mori and A. pernyi) were investigated. The three wild cocoons demonstrated significantly higher fractal dimensions, higher fiber intersectional densities and low porosities, indicating their structures are more optimized. They also displayed better puncture resistance than B. mori. Increased layer numbers could significantly increase the puncture resistance of both cocoon types and A. pernyi showed more remarkable increases. Moreover, the two cocoon types showed optimum puncture resistance after heat treatment with hot-press temperature of 135℃ and pressure of 25 MPa, and A. pernyi showed better puncture resistance after such treatment. Finally, both the maximum puncture force and puncture energy of cocoons displayed a linear increase with the increasing fractal dimensions. The new insights can guide the development of novel protective fiber composites with desirable and predictable anti-puncture performance.