Defect of the tendon sheath after tendon injury is a main reason for tendon adhesions, but it is a daunting challenge for the biomimetic substitute of the tendon sheath after injury due to its multi-layer membrane-like structure and complex biologic functions. In this study, a multi-layer membrane with celecoxib-loaded poly(l-lactic acid)-polyethylene glycol (PELA) electrospun fibrous membrane as the outer layer, hyaluronic acid (HA) gel as middle layer, and PELA electrospun fibrous membrane as the inner layer was designed. The anti-adhesion efficacy of this multi-layer membrane was compared with a single-layer use in rabbit flexor digitorum profundus tendon model. The surface morphology showed that both PELA fibers and celecoxib-loaded PELA fibers in multi-layer membrane were uniform in size, randomly arrayed, very porous, and smooth without beads. Multi-layer membrane group had fewer peritendinous adhesions and better gliding than the PELA membrane group and control group in gross and histological observation. The similar mechanical characteristic and collagen expression of tendon repair site in the three groups indicated that the multi-layer membrane did not impair tendon healing. Taken together, our results demonstrated that such a biomimetic multi-layer sheath could be used as a potential strategy in clinics for promoting tendon gliding and preventing adhesion without poor tendon healing.