As a biological fibrous structure, silkworm cocoon provides multiple protective functionalities to safeguard the silk moth pupa’s metabolic activity. The mechanism of this protection could be adopted in clothing manufacture to provide more comfortable apparel. In this study, the thermal insulation properties of both domestic Bombyx mori (B. mori) and wild Antheraea pernyi (A. pernyi) cocoons were investigated under both warm and cold environmental conditions. Computational fluid dynamics models have been developed to simulate the heat transfer process through both types of cocoon wall structures. The simulation results show that the wild A. pernyi cocoon reduces the intensity of convection and heat flux between the environment and the cocoon interior and has higher wind resistance than its domestic counterpart. Compared with A. pernyi cocoon, the B. mori cocoon facilitates easy air transfer and decreases the temperature lag when the surrounding conditions are changed. The new knowledge has significant implications for developing biomimetic thermal functional materials.