When confronted with thermal injuries resulting from high temperatures, such as burns or scalds, the affected area experiences a buildup of heat and exudate, leading to a range of biological alterations. To effectively manage these wounds, it is essential to initially provide cooling treatment, followed by facilitating gradual wound repair. In this study, we employed coaxial electrospinning technology to integrate small molecule sugar alcohols (SAs), including xylitol (Xyl), sorbitol (Sor), and erythritol (Ery), within a poly(vinyl alcohol) (PVA) nanofiber matrix. The successful creation of a core−shell structure was verified through transmission electron microscopy (TEM). Notably, the excellent water solubility, heat absorption, and cooling properties of SAs enabled these mats to generate a cooling effect of approximately 2−3 °C. Furthermore, we developed a composite nanofiber mat comprising encapsulated xylitol along with dopamine and silver incorporated into the shell layer (Xyl@PVA/DA-Ag). This mat exhibited self-adhesive properties and remarkable antimicrobial activity. Additionally, our observations revealed that both xylitol and dopamine possess the capability to scavenge reactive oxygen species (ROS), thereby mitigating wound inflammation. Collectively, the multifunctional SA-encapsulated nanofiber mats present a comprehensive therapeutic approach for thermal injuries, demonstrating significant potential for clinical application.