Flexible fibers and textiles featuring photothermal conversion and storage capacities are ideal platforms for solar‐energy utilization and wearable thermal management. Other than using fossil‐fuel‐based synthetic fibers, re‐designing natural fibers with nanotechnology is a sustainable but challenging option. Herein, advanced core–shell structure fibers based on plant‐based nanocelluloses are obtained using a facile co‐axial wet‐spinning process, which has superior photothermal and thermal‐regulating performances. Besides serving as the continuous matrix, nanocelluloses also have two other important roles: dispersing agent when exfoliating molybdenum disulfide (MoS2), and stabilizer for phase change materials (PCM) in the form of Pickering emulsion. Consequently, the shell layer contains well‐oriented nanocelluloses and MoS2, and the core layer contains a high content of PCM in a leak‐proof encapsulated manner. Such a hierarchical cellulosic supportive structure leads to high mechanical strength (139 MPa), favorable flexibility, and large latent heat (92.0 J g−1), surpassing most previous studies. Furthermore, the corresponding woven cloth demonstrates satisfactory thermal‐regulating performance, high solar‐thermal conversion and storage efficiency (78.4–84.3%), and excellent long‐term performance. In all, this work paves a new way to build advanced structures by assembling nanoparticles and polymers for functional composite fibers in advanced solar‐energy‐related applications.