Polycaprolactone (PCL) is a synthetic biomaterial that has been widely used for tissue engineering scaffolds. Collagen, a natural polymer found in various tissues in the human body, can be electrospun in combination with PCL to improve the scaffold's biological characteristics for cell attachment, growth and differentiation. Recreating the physical structure which mimics the extracellular matrix of musculoskeletal tissues generally requires fibrous patterns, including aligned, random, or a mixture of both to form a gradient structure. This study introduced a novel cone rotation electrospinning technique for nanofiber scaffold with microstructure gradient. The effects of key process parameters on nanofiber attributes were evaluated through a factorial design of experiment. We found that changing the rotation speed, electrospinning distance, and position on the cone had significant effects on the structure gradient of nanofiber mats. This cone rotation technique extends the capability of conventional electrospinning to create tunable anisotropic nanofiber scaffolds as potential biomimetic solutions for tissue regeneration.