This article reports on the encapsulation of a phase change material (PCM) into a hydrophilic polymer, poly(vinyl alcohol) (PVOH), by means of electrospinning. Different strategies were carried out to improve the thermal buffering capacity and the stability of the developed structures when they were exposed to different relative humidity (RH) conditions. On the one hand, the thermal energy storage capacity of PVOH/PCM structures obtained through emulsion electrospinning was optimized by using different amounts of polyoxyethylene sorbitan monolaureate (Tween 20). Surfactant addition successfully increased the heat storage capacity of the developed structures, reaching an optimum performance at a concentration of 0.32% in weight with respect to the total emulsion weight. However, the hydrophilic nature of the developed structures made them extremely difficult to handle due to swelling with increasing RH. To avoid this issue an additional shell layer of poly(caprolactone) (PCL), was applied by coaxial electrospinning. In this case, the PVOH/PCM ratio (core) was optimized to reach the highest heat storage capacity per gram of sample and, then, a PCL solution was used as a shell material to hydrophobize the structures. The optimized coaxial electrospun structures were able to encapsulate about 82% of PCM. The use of both emulsion and coaxial electrospinning strategies are introduced here for the first time as advanced strategies to overcome application issues such as unintended migration and performance drop in the previously developed monophase materials.