Electrospinning is a simple and convenient technique to produce polymer fibers with diameters ranging from several nanometers to a few micrometers. Different types of polymer fibers have been prepared by electrospinning for various applications. Among different post‐treatment methods of electrospun polymer fibers, the annealing process plays a critical role in controlling the fiber properties. The morphology changes of electrospun polymer fibers under annealing, however, have been little studied. Here we investigate the annealing effect of electrospun poly(methyl methacrylate) (PMMA) fibers and their transformation into PMMA microspheres. PMMA fibers with an average size of 2.39 μm are first prepared by electrospinning a 35 wt% PMMA solution in dimethylformamide. After the electrospun fibers are thermally annealed in ethylene glycol, a non‐solvent for PMMA, the surfaces of the fibers undulate and transform into microspheres driven by the Rayleigh instability. The driving force of the transformation process is the minimization of the interfacial energy between the polymer fibers and ethylene glycol. The sizes of the microspheres fit well with the theoretical predictions. Longer annealing times are found to be required at lower temperatures to obtain the microspheres.