Complex nanostructures are increasingly becoming important in the development of novel functional nanomaterials. Nano drug depots, characterized by core-shell structures with core drug reservoirs, are drawing increasing attention because of its potential applications in furnishing drug-sustained release profiles. In the present study, two kinds of nano drug depots, one containing a crystal drug reservoir and the other having a medicated composite drug reservoir, were prepared through modified triaxial electrospinning. Their drug-sustained release performances were compared in terms of initial burst release, middle linear release, and the late tailing off release. Although both depots had a linear morphology, clear core-shell nanostructures and the same cellulose acetate shell layer, they provided considerably different tailing off release performances, and thus different sustained release profiles. The composite-based drug depots showed a smaller tailing off drug amount of 2.2%, a shorter time period of 12 h, and a better zero-order controlled release kinetics in general than the crystal-based drug depots, whose tailing off amount was 9.3% over a time period of 36 h. The mechanism was proposed, which had a close relationship with the state of drug in the core reservoir. The present protocols open a new way for producing medicated structural nanomaterials.