Over the last 30 years, phase change fibers (PCFs) have been extensively investigated and applied as high-performance nonwoven fabrics and coatings. As a prospective renewable and clean material, PCFs with micro-scale have been successfully prepared by melt/wet spinning for applications in thermal energy storage (TES) and temperature regulation. With the development of fiber manufacturing techniques, e.g. electrospinning, ultrafine PCFs have been exploited and investigated in the last decade. This paper considers the state of investigations and developments in ultrafine (submicro-scale) PCFs by electrospinning technique since 2006. Electrospun ultrafine PCFs individually using long-chain aliphatic hydrocarbons (and paraffin waxes), polyethylene glycol, fatty acids (and their eutectics), and other solid-liquid phase change materials (PCMs) as latent heat storage (LHS) component are reviewed. The relationship between morphology, composition, and thermal properties are discussed for providing guidance for fabricating appropriate ultrafine PCFs with desired thermophysical properties for various applications. The further challenges and opportunities of electrospun ultrafine PCFs for TES and other applications are also discussed.