Fiber reinforced polymeric composites with enhanced mechanical performance, lightweight, and design flexibility have played a key role in technological development in recent years. However, polymeric composites are extremely vulnerable to crack initiation and growth, and subsequent mechanical properties degradation. The integration of self-healing capability into the polymeric composites is a prudent approach to prolong their effective lifetime. The self-healing materials are able to repair cracks deep inside the composite structure by delivering a reactive encapsulated liquid into fractured areas. In spite of several progresses made in the development of self-healing composites, most of the approaches are limited by two main drawbacks; namely, the reduction in the mechanical performance and the limitation of healing process for a few cycles. Herein, we make use of a direct, one-step tri-axial electrospinning process to fabricate multi-walled fibers with a novel architecture. Different healing agents were encapsulated inside the fibers with two separate protective walls. The incorporation of continues electrospun fibers in the composite structure provides exceptional property of continuous and repeated delivery of healing agent in the damaged area. Presence of an extra layer in fiber structure facilitates the encapsulation of healing agents and extends the efficiency of the healing functionality. We first take a systematical optimization approach to produce tri-axial hollow electrospun fibers with tunable fiber diameters and surface morphology. Next, the effect of tri-axial hollow fibers as a primary reinforcement and co-reinforcement in the presence of glass fibers is scrutinized from a material selection point of view. Furthermore, multi-walled fibers were utilized to encapsulate different healing agents inside the fibers and successful and recurring self-healing ability were achieved while preserving the mechanical properties of the composites.