Electrospun nanofibers have large surface area, high porosity, and controllable orientation while conventional microfibers have appropriate mechanical properties such as stiffness, strength, and elasticity. Therefore, the combination of nanofibers and microfibers can provide building elements to engineer biomimetic scaffolds for tissue engineering. In this study, a core–shell structured fibrous structure with controllable surface topography is created by electrospinning polycaprolactone (PCL) nanofibers onto polyglycolic acid (PGA) microfibers. The surface morphology, surface wettability, and mechanical properties of the resultant core–shell structure are characterized. FE-SEM images reveal that the orientation of PCL nanofibers on the yarn surface can be tuned by a fiber collector and rotating disks. Benefiting from the introduction of a shell of aligned PCL nanofibers on the core of PGA yarn, the uniaxially aligned PCL nanofiber–covered yarns (A-PCLs) exhibit higher hydrophilicity, porosity, and mechanical properties than the core PGA yarns. Moreover, A-PCLs promote the adhesion and proliferation of BALB/3T3 (mouse embryonic fibroblast cell line), and guide cell growth along the biotopographic cues of the PCL nanofibers with controllable alignment. The developed core–shell yarn having both the desired surface topography of PCL nanofibers and mechanical properties of PGA microfibers demonstrates great potential in constructing various tissue scaffolds.