The increasing instability of the global energy sector, intensified by recent geopolitical conflicts, and the growing impact of urban heat islands (UHI) have highlighted the urgent need for passive thermal management strategies in the built environment. Simultaneously, the accumulation of textile waste, particularly cotton-based residues, which are commonly disposed of in landfills or subjected to low-value end-of-life routes, represents a major environmental challenge. In this context, phase change materials (PCMs) have attracted significant interest for their ability to store and release latent heat, improving thermal comfort and reducing energy demand. However, their direct incorporation into construction materials remains limited by leakage and physicochemical incompatibilities during phase transitions. Consequently, the development of coaxial polymeric fibres based on recycled cellulose acetate obtained from textile waste emerges as a promising strategy to ensure PCM stability, promote waste valorisation, and support circular economy principles. This work proposes the development of coaxial polymeric phase change fibres (PCFs) via wet-spinning, enabling the formation of core–sheath structures through phase inversion in a coagulation bath. The fibre sheath is based on cellulose acetate, including both a commercial and a recycled alternative (CAt), obtained through the homogeneous acetylation of 100% cotton textile waste. Fatty acids were incorporated into the fibre core as PCMs to provide latent heat storage capability, while carbon nanofibres (CNFs) were incorporated into the sheath to enhance the thermal and viscoelastic performance of the fibres. A comprehensive characterisation is being carried out to evaluate morphological (bright-field microscopy), chemical (attenuated total reflectance–Fourier transform infrared spectroscopy, ATR-FTIR), and thermal (thermogravimetric analysis, TGA; differential scanning calorimetry, DSC), aiming to establish structure–property–function relationships. This approach highlights the potential of converting textile waste into advanced functional materials for passive thermal regulation, promoting waste valorisation, circular economy principles, enhanced thermal comfort, and reduced energy dependency in urban environments.