A continuous and scalable method for the wet spinning of cellulose nanofibrils (CNFs) is introduced in a core/shell configuration. Control on the interfacial interactions was possible by the choice of the shell material and coagulant, as demonstrated here with guar gum (GG) and cellulose acetate (CA). Upon coagulation in acetone, ethanol, or water, GG and CA formed supporting polymer shells that interacted to different degrees with the CNF core. Coagulation rate was shown to markedly influence the CNF orientation in the filament and, as a result, its mechanical strength. The fastest coagulation noted for the CNF/GG core/shell system in acetone led to an orientation index of ∼0.55 (Herman's orientation parameter of 0.40), Young's modulus of ∼2.1 GPa, a tensile strength of ∼70 MPa, and a tenacity of ∼8 cN/tex. The system that underwent the slowest coagulation rate (CNF/GG in ethanol) displayed a limited CNF orientation but achieved an intermediate level of mechanical resistance, owing to the strong core/shell interfacial affinity. By using CA as the supporting shell, it was possible to spin CNF into filaments with high water absorption capacity (43 g water/g dry filament). This was explained by the fact that water (used as the coagulant for CA) limited the densification of the CNF core structure, yielding filaments with high accessible area and pore density.