Double-walled nanospheres, containing meloxicam, were fabricated with poly-(D,L-lactide-co-glycolide) (PLGA) and poly(L-lactide) (PLLA) using the solvent evaporation technique. This article discusses the effect of formulation variables [sonication power, sonication time, concentration of poly(vinyl alcohol), organic/aqueous volume ratio in the first emulsion] on the production of double-walled nanospheres. The involved phase separation of these two polymers was investigated using differential scanning calorimetry. Double-walled microspheres containing meloxicam were also produced to determine the composition of the shell and core polymer, based on different solubilities of polymers in ethyl acetate, and to examine the inner morphology and drug distribution using optical and fluorescence microscopy. The produced microparticles have shown a double-walled structure with meloxicam solubilized in the PLGA-rich phase. Therefore, adjusting the selected formulation variables and using a mass ratio of 1:1 PLLA/PLGA, double-walled nanospheres where meloxicam is dispersed within the core can be produced.