Biological materials are hierarchically organized complex composites, which embrace multiple practical functionalities. As an example, the wild silkworm cocoon provides multiple protective functions against environmental and physical hazards, promoting the survival chance of moth pupae that resides inside. In the present investigation, the microstructure and thermal property of the Chinese tussah silkworm (Antheraea pernyi) cocoon in both warm and cold environments under windy conditions have been studied by experimental and numerical methods. A new computational fluid dynamics model has been developed according to the original fibrous structure of the Antheraea pernyi cocoon to simulate the unique heat transfer process through the cocoon wall. The structure of the Antheraea pernyi cocoon wall can promote the disorderness of the interior air, which increases the wind resistance by stopping most of the air flowing into the cocoon. The Antheraea pernyi cocoon is wind-proof due to the mineral crystals deposited on the outer layer surface and its hierarchical structure with low porosity and high tortuosity. The research findings have important implications to enhancing the thermal function of biomimetic protective textiles and clothing.