In this work, a waterproof and breathable nanofibrous membrane with thermal‐regulated performance and exhibits excellent mechanical property is fabricated by coaxial electrospinning. The fiber shell is consisted of polyvinylidene fluoride (PVDF) and polyvinyl butyral (PVB), and the core is octadecane. First, well‐performed waterproof and breathable membranes are obtained by optimizing its morphology and pore structure. Then octadecane is loaded into the fibers in the form of core by coaxial electrospinning, though it gives the membranes a thermal regulating function, but the drawback is the sacrifice of overall properties. Thus, carbon nanotubes are loaded into the shell and studied, finally, the best membrane has a comprehensive performance with hydrostatic pressure of 59.2 kPa, water vapor transmission rate (WVTR) of 7.846 kg m−2 d−1, latent heat of 50.1 J g−1, as well as excellent tensile strength of 20.2 MPa, which shows its certain reference significance to the synthesis of multifunctional membrane.