Carbon nanotube (CNT) yarn-based wearable technologies have garnered interest, due to their excellent electrical conductivity, high aspect ratio and excellent flexibility. However, their low abrasion resistance and restricted elongation are always problems that significantly limit their industrial applicability. This paper describes a wrapping technique by winding the CNT yarn onto PU filaments, adjusting the yarn’s winding turns at 400, 1600, and 12,000 t/m per minute. By using a twist rate of 900 t/m and winding turns at 12,000 t/m, a conductive core–shell structure with the CNT yarn as skin yarn and the PU yarn as core yarn was achieved. The CNT/PU yarn exhibited consistent elctrical resistance over a strain range of 30%. Furthermore, with a low trigger voltage of 3.5 V, the surface temperature of the wrapped yarn could reach 84.8°C, showing stable electrothermal performance and a slight temperature fluctuation in the stretching or bending states. The CNT/PU yarns have a wide range of applications in the field of human motion monitoring and electrical heating.