Incorporating a phase change material (PCM) into fibres allows the fabrication of smart textiles with thermo-regulating properties. Previously, such fibres have been made from thermoplastic polymers, usually petroleum-based and non-biodegradable, or from regenerated cellulose, such as viscose. Herein, strong fibres are developed from aqueous dispersions of nano-cellulose and dispersed microspheres with phase changing characteristics using a wet spinning technique employing a pH shift approach. Good distribution of the microspheres and proper compatibility with the cellulosic matrix was demonstrated by formulating the wax as a Pickering emulsion using cellulose nanocrystals (CNC) as stabilizing particles. The wax was subsequently incorporated into a dispersion of cellulose nanofibrils, the latter being responsible for the mechanical strength of the spun fibres. It was possible to produce fibres highly loaded with the microspheres (40 wt%) with a tenacity of 13 cN tex−1 (135 MPa). The fibres possessed good thermo-regulating features by absorbing and releasing heat without undergoing structural changes, while maintaining the PCM domain sizes intact. Finally, good washing fastness and PCM leak resistance were demonstrated, making the fibres suitable for thermo-regulative applications. Continuous fabrication of bio-based fibres with entrapped PCMs may find applications as reinforcements in composites or hybrid filaments. © 2023 The Authors