High thermostability of phase change materials is the critical factor for producing phase change thermoregulated fiber (PCTF) by melt spinning. To achieve the production of PCTF from melt spinning, a composite phase change material with high thermostability was developed, and a sheath-core structure of PCTF was also developed from bicomponent melt spinning. The sheath layer was polyamide 6, and the core layer was made from a composite of polyethylene and paraffin. The PCTF was characterized by scanning electron microscopy (SEM), thermal analysis (TG), Fourier Transform Infra-Red (FTIR), X-ray diffraction (XRD), differential scanning calorimetry (DSC) and fiber strength tester. The results showed that the core material had a very high thermostability at a volatilization temperature of 235 °C, the PCTF had an endothermic and exothermic process in the temperature range of 20–30 °C, and the maximum latent heat of the PCTF reached 20.11 J/g. The tenacity of the PCTF gradually decreased and then reached a stable state with the increase of temperature from −25 °C to 80 °C. The PCTF had a tenacity of 343.59 MPa at 0 °C, and of 254.63 MPa at 25 °C, which fully meets the application requirements of fiber in textiles.