A polyetherimide/polyvinylidene fluoride (PEI/PVDF) coaxial fiber membrane coated with polyethylene (PE) porous microspheres with thermal shutdown function was prepared. The PE porous microspheres created by the suspension dispersion method are composed of a large number of pleated petal structures, which contain abundant pore structures and have a melting point of 108°C. Ionic conductivity test, scanning electron microscope test, open circuit voltage test, and cycle performance test show that the composite membrane with PE microspheres layer can effectively close the pore structure at 110°C and stop the battery reaction. The thermal stability test shows that the composite membrane does not shrink at 210°C, the thermal shutdown temperature window is as high as 100°C, and the PE coating can significantly improve the high temperature thermal dimensional stability of the membrane. Thanks to the porous microstructure of PE microspheres and the good electrolyte affinity of the PVDF skin layer, the PE composite membrane has good electrolyte wetting and uptake capabilities. The battery assembled by the PE composite membrane has a capacity retention rate of 88.6% after 100 cycles at 0.5 C and has excellent C‐rate capability.