The larvae of the giant silk moth (Hyalophora cecropia) spin strikingly dimorphic, multilayered cocoons that are either large and fluffy (baggy) or significantly smaller and tightly woven (compact). Although these cocoon-morphs share the same function (i.e., housing for pupal to adult development during overwintering), previous work has been unable to determine why cocoon dimorphism exists. We addressed this issue in cecropia moth cocoons collected along power line right-of-way habitats in Massachusetts. We first characterized the architectural differences between cocoon-morphs for all three cocoon sections (outer and inner envelopes, and the intermediate layer separating the two). We show that outer envelope structural and ultrastructural differences are what underlie dimorphism. Using a common spinning arena, we next show that the behavioral suites used to construct the outer envelopes of the two morphs are significantly different in behavioral time investment and patterning, as well as in the location of silk placement in the common spinning arena. Finally, we compared the cocoon-morphs in response to various environmental stressors to ask whether dimorphism is an adaptive response to such pressures. In contrast to compact cocoons, we find that baggy cocoons act as heat sinks and allow greater moisture permeability; differences in outer envelope architecture underlie these characteristics. These two biophysical properties could be advantageous for pupae in baggy cocoons, during unseasonably cold or dry conditions encountered during development prior to adult emergence. Our results suggest that cocoon dimorphism in the cecropia moth may provide a bet-hedging strategy for dealing with varying environmental conditions in Massachusetts and perhaps over its entire habitat range, during pupal to adult development.