Cellulose nanocrystals (CNCs) were utilized for the modification of polyacrylonitrile (PAN) precursor. The crystallization behaviors of a series of PAN/CNCs complex films with different contents of CNCs were compared. It was proved that CNCs could be intercalated into the space between PAN molecular chains with the newly formed hydrogen bond. Simultaneous temperature-dependent differential scanning calorimetry (DSC) and wide-angle X-ray diffraction (WAXD) measurements were applied to trace the crystalline structural evolution of PAN/CNCs complex during heat treatment, and temperature-dependent Fourier transform infrared (FTIR) spectroscopy was utilized to investigate chemical structural evolution. Results indicated that secondary crystallization of PAN could be delayed by addition of CNCs. Thermal stabilization of the PAN/CNCs complex would occur earlier and more gently compared to neat PAN. Destruction of crystal unit cells occurred after collapse of the PAN crystallites, which was attributed to the stronger intermolecular force between CNCs and PAN. "Hydrogen-bonding cage" conception was proposed, and an appropriate structural evolution model was proposed to simulate the phase transition of PAN/CNCs complex during thermal stabilization.