Multicomponent phase change microfibers, which can storage and release thermal energy in a stepwise manner, are firstly prepared through a facile one‐step multifluidic compound‐jet electrospinning with temperature control. The multiresponsive effect benefits from a special multichannel tubular microstructure that could controllably encapsulate different phase change materials into the channels independently. Aside from the fabrication of multicomponent phase change microfibers, the melt multifluidic compound‐jet electrospinning is promising for applications related to microencapsulation and multifunctional material fields.