Multi-walled nanofibers with their outstanding properties have found expanding applications on drug delivery systems, biosensors, self-healing materials and many other state-of-the-art technologies. This work investigates the fabrication and morphological control of multi-walled structured electrospun polymeric nanofibers by multi-axial electrospinning system. This process is based on a nozzle allowing multi-axial extrusion of different fluids with concentric orders. Two spinnable polymers of poly(methyl methacrylate) and polyacrylamide are chosen for the fabrication of middle and outer walls of co-axial hollow nanofibers, respectively. Hansen’s solubility parameters are used to systematically optimize the solvent selection for each layer and control the degree of miscibility of layers with the purpose of tailoring the final wall morphology of nanofibers. Characterization studies are performed by Scanning Electron Microscopy, Energy-Dispersive X-ray Spectroscopy, Fourier Transform Infrared Spectroscopy, and Thermal Gravimetric Analyzer.