Hexadecane-polyurethane core-shell nanoweb with thermo-regulating property has potential application in technical textiles such as protective clothing. However, there are challenges in preparation of hexadecane-polyurethane core-shell nanofibers due to non-conductivity of hexadecane as well as its low viscosity. The geometry of coaxial nozzle is one of the most important process parameters which plays vital role in the formation of core-shell structured materials such as hexadecane-polyurethane nanofibers. To study the effect of coaxial nozzle geometry on success level of forming core-shell structures, coaxial nozzles with different lengths of inner nozzles were applied. Core-shell structure with suitable phase separation was formed as confirmed by scanning electron microscopy. The presence of both materials (polyurethane and hexadecane) in the nanofibrous mats was established by attenuated total reflectance-Fourier transform infrared spectroscopy. Thermal properties of the nanowebs were studied using differential scanning calorimetry and thermal gravimetric analysis. The results showed that the coaxial nozzle geometry had a significant influence on producing the core-shell structured hexadecane-polyurethane nanofibers. After obtaining core-shell structure by optimizing coaxial nozzle geometry, the core content of nanofibers was increased from 13% to 33% by adding surfactant to the core material. These results showed that the core-shell structured nanofibers with high loading of hexadecane in their core could be obtained by modifying process and materials in co-electrospinning method.