In this study, a cotton/polyester combination yarn with a hydrophobic–hydrophilic gradient across the yarn cross-section was developed using twinning and twisting technologies, and the hermos-physiological comfort properties of the cotton/polyester combination yarn-based double-layer knitted fabrics, prepared from the cotton/polyester combination yarn together with cotton yarn and polyester filaments, were systematically investigated and compared with the cotton (outer)–polyester filaments (inner) fabric. The results show that the cotton/polyester fabric has a better one-way transfer capacity and drying property due to the hydrophobic–hydrophilic gradient from inside to outside, as well as a lower thermal resistance. The cotton/polyester (outer)–polyester filaments (inner) fabric exhibits a weaker hydrophobic–hydrophilic gradient than the cotton/polyester fabric, offering superior water vapor permeability and dynamic cooling property. Although the cotton (outer)–cotton/polyester (inner) fabric with a hydrophilic gradient shows a higher thermal resistance and a weaker dynamic cooling property, it also has a higher air permeability, thermal conductivity and q_max, and its drying rate is second only to the cotton/polyester fabric. The use of the cotton/polyester combination yarn in the inner layer significantly improves the fabrics' wettability, wickability, and tactile comfort. Furthermore, the combination yarn-based fabrics also have very good water transfer ability. As a result, the combination yarn can take advantage of both fibers in the preparation of fabrics that meet different comfort requirements.