PURPOSE: To obtain entangled cocoon filaments widely ranging from filaments like doubled twisted filaments to those coated with completely covered cocoon filaments, by passing a false twisted and turned core yarn through a pipe in a reeling bath, applying the cocoon filaments to the core yarn, and taking off the resultant filaments.

CONSTITUTION: A core yarn 12 drawn out from a bobbon by feed rollers 10 is passed through a false twisting means 9, false twisted, turned and then passed through a pipe 2 passing through a reeling bath 1, and cocoon filaments 8 reeled from cocoons 7 in the reeling bath 1 are then applied and entangled with the core yarn 12 at the outlet of the pipe 2. The resultant entangled yarn is taken off by delivery rollers 13 and then wound onto a bobbin 15. Preferably, a heater 16 for false twisting and setting the yarn is provided between the feed rollers 10 and the false twisting means 9, and the yarn having the entangled cocoon filaments is passed through a false twisting setting and drying heater 17.