Electrospinning has been widely used to prepare polymer fibers with diameters ranging from a few nanometers to micrometers. While most studies focus on controlling the sizes and morphologies of electrospun polymer fibers by changing electrospinning conditions, the effect of post-treatments such as thermal annealing on the properties of electrospun polymer fibers has been less studied. Here, we investigate the effect of thermal annealing on the morphology changes of electrospun polystyrene (PS) fibers on substrates. Different from annealing the fibers in a uniform environment, annealing the fibers on substrates results in a substrate-dependent morphology transformation. When the electrospun PS fibers are annealed on a glass substrate, wetting of the fibers on the glass substrate occurs. When the electrospun PS fibers are annealed on a poly(methyl methacrylate) (PMMA)-coated substrate, a Rayleigh-instability-driven morphology transformation is observed. The polymer fibers transform into hemispherical polymer particles caused by the lower surface tension of PS than that of PMMA and the interfacial tension between PS and PMMA. This transformation process is influenced by the annealing time and temperature. The characteristic time of the transformation process is shorter when the sample is annealed at a higher temperature because of the lower polymer viscosity. The size of the polymer particles fits well with the theoretical prediction, which is dependent on the initial fiber diameter and is independent of the annealing temperature.