The present studies provide the first example of a nanostructured thermoregulating textile materials obtained by electrospinning process. Microencapsulated phase change material was dispersed into a Poly(ε-caprolactone) (PCL)-acetone solution and electrospun at ambient temperature. The morphological analysis showed that the addition of microcapsules to the PCL lead to the formation of nanofibers with a significantly lower average diameter with respect to that obtained by pure PCL in the same conditions. The resulting functional material has demonstrated to have the higher efficiency in the thermoregulating effect in comparison with more of the dispersion methods used up to now.