As a unique and important biopolymer composite, silkworm cocoons have evolved a wide range of different structures and combinations of physical and chemical properties to resist environmental damage and attacks from natural predators. A combination of characterization techniques including scanning electron microscopy, mechanical tests, and Fourier transform infrared spectroscopy were applied to investigate the morphologies, mechanical properties, and nanoscale organizations of Antheraea pernyi cocoons from two different source regions. Mechanical tests were carried out by using rectangular specimens cut from four directions 0° (width of the cocoons), ±45°, and 90° (the length of the cocoon), separately. The mechanical properties such as tensile strength, initial modulus, and maximum load of cocoon in four directions were measured. The structural analysis of silkworm cocoon shows that there is a slightly different combination of morphology and properties that have adapted to coping with diverse local environments. The results of the mechanical properties of silkworm cocoons show that the A. pernyi cocoon from north of China behaved stronger and tougher. Besides, there were slight differences among the results of mechanical properties for 0°, ±45°, and 90° directions of these cocoons. Our studies will help formulate bio-inspired design principles for new materials.