Polyethylene glycol (PEG) is a phase change material (PCM) with a high heat of fusion and is capable of storing and releasing large amounts of energy at its melting and crystallization point as the surrounding temperature changes. This study deals with the fabrication of polyethylene glycol/polyvinylidene fluoride (PVDF) core/sheath non-woven mats by coaxial electrospinning and characterization of the obtained mats. The non-woven mats comprised of nanofibers (average diameter:~700 nm) in which PEG (PCM) was encapsulated with a PVDF sheath. The PVDF sheath helped prevent PEG leakage from the fibers during a phase change and protected the core from an external environment. Water contact angle (WCA) measurements, attenuated total reflectance-Fourier transform infrared (ATR-FTIR) spectroscopy measurements, X-ray photoelectron spectroscopy (XPS) analysis and transmission electron microscopy (TEM) studies confirmed that the fabricated mats comprised a PEG layer covered with a PVDF layer. The thermal properties of the mats were analyzed by differential scanning calorimetry (DSC) and thermogravimetric analysis (TGA). These results suggest that the PEG/PVDF core/sheath non-woven mats have good thermal reliability and sufficiently high tensile strength with potential applications in the manufacture of thermo-regulated textiles.