Silkworm cocoons have evolved a wide range of different structures and combinations of physical and chemical properties in order to cope with different threats and environmental conditions. We present our observations and measurements on 25 diverse types of cocoons in a first attempt to correlate physical properties with the structure and morphology of the cocoons. These two architectural parameters appear to be far more important than the material properties of the silk fibres themselves. We consider tensile and compressive mechanical properties and gas permeation of the cocoon walls, and in each case identify mechanisms or models that relate these properties to cocoon structure, usually based upon non-woven fibre composites. These properties are of relevance also for synthetic non-woven composite materials and our studies will help formulate bio-inspired design principles for new materials.