Two types of form-stable phase change material based on poly(ethylene glycol)-loaded poly(vinylidene fluoride) (PVDF) nanofibers were fabricated via single and coaxial electrospinning. Blends of two different kinds of poly(ethylene glycol) (PEG600 and PEG1000) were used as the phase change material (PCM) and PVDF was used as supporting polymers in the PCM-loaded electrospun PVDF nanofibers. By single electrospinning, SiO2 was added into the PEGs-loaded PVDF to prevent PEGs leakage and to maintain the shape of the nanofibers during the melting and solidifying processes. The addition of SiO2 also increased the mechanical strength of the nanofibers. By coaxial electrospinning, the core/shell structured nanofibers, in which the PEGs and PVDF were the active core and protective shell layers, respectively, were fabricated. The microstructure of the e-spun nanofibers was investigated by FE-SEM. TEM images show that PEGs were encapsulated by PVDF shell. The ATR-FTIR analysis and water contact angle measurements confirm that good core/shell-structured nanofibers were obtained when the core feed rate was lower than 4.0 μL/min. During the water immersion test, the PEGs on the surface of the PVDF/SiO2 composite nanofibers were dissolved, while no leakage of PEGs from the core/shell-structured nanofibers was observed. A hot oven and a DSC cycling tests were conducted to evaluate the thermal stability. These results show that the PEGs-loaded core/shell nanofibers had better thermal stability than the PEGs-loaded PVDF/SiO2 composite nanofibers. Therefore, the non-woven mats of the core/shell-structured nanofibers could have extensive applications in thermal energy storage and fabrication of smart textile.