Affected by ambient oxygen and thermal diffusion mechanism, the radial structural distribution of polyacrylonitrile (PAN) fiber during the pre-oxidation process will be inherited to the carbon fiber, which had a remarkable effect on the mechanical properties of carbon fiber. It is important to understand the evolution mechanism of radial structure evolution of PAN fiber during the pre-oxidation process to manufacture the high-performance carbon fiber. In this paper, a series of fine denier model fibers were prepared by adjusting the oxygen concentration to describe the structural characteristics at different radial regions of pre-oxidized fibers. The evolution mechanism of the radial structure of pre-oxidized fiber, with the increase of heat treatment temperature, was studied by the methods of optical microscope, C13 nuclear magnetic resonance (13C-NMR), and thermogravimetric analyzer (TGA). The results showed that along the radial direction of pre-oxidized fiber from skin to core layer, the degree of cyclization changed little while the dehydrogenation and oxygen-containing structure gradually decreased. Specifically, the oxygen-containing functional groups in the core decreased to the lowest level or even disappeared. A moderate increase of temperature in the initial and middle pre-oxidation processes could effectively promote the formation of cyclized structure and stabilize cross-linked ladder structure in the skin region of the fiber. With it, the thermal stability of obtained pre-oxidation fiber was improved.