Melt nanomolding of core-shell nanocylinders of different sizes, employing anodic aluminum oxide (AAO) templates, is reported here for the first time. The core-shell nanostructures are achieved by a new melt double-infiltration technique. During the first infiltration step, polystyrene (PS) nanotubes are produced by an adequate choice of AAO nanopore diameter size. In the second step, PCL is infiltrated inside the PS nanotubes, as its melting point (and infiltration temperature) is lower than the glass transition temperature of PS. Scanning electron microscopy (SEM) and Fourier transform infrared spectroscopy (FTIR) measurements verified the complete double-infiltration of the polymers. Differential scanning calorimetry (DSC) experiments show that the infiltrated PCL undergoes a confined fractionated crystallization with two crystallization steps located at temperatures that depend on which surface is in contact with the PCL nanocylinders (i.e., alumina or PS). The melt double-infiltration methodology represents a novel approach to study the effect of the surrounding surface on polymer crystallization under confinement.