Structural design of separator is becoming a strategy as attractive as material innovation for improving lithium-ion batteries (LIBs) performance. Silkworm cocoon displays a very unique multilayer gradient structure in the thickness direction, but how the gradient structure in every single layer affects its separator properties is still unknown. Herein, the cocoon is initially peeled into various layers, and the differences in the composition, porosity, and packing density of each layer confirm the multilayer gradient structure of the cocoon. The thermal, puncture, wetting, and electrochemical properties of every layer are then investigated, and the relationship between structure and property is further analyzed. The performance is greatly dependent on the number of peeled layers and the layer position in the cocoon. Particularly, the puncture strength of the layered cocoon is better than the polyolefin separator and increases from the inner to the outer layer, while the wettability decreases. Moreover, the electrochemical performance of the cocoon layer is better than the unlayered cocoon with larger capacity retention. Therefore, it is hoped that such a study on the gradient structure and property of cocoon layers could provide inspiration for the separator design research focusing on the high safety and high performance for LIBs development.