Anti-reflective coatings (ARCs) can significantly improve the absorptance of solar spectrally selective coatings (SSSCs). Porous ARCs exhibit increased transmittance over a broad wavelength range and are widely utilized in photovoltaic (PV) modules. However, porous structures can easily absorb water and other air impurities, resulting in the degradation of optical performance. This renders porous ARCs unsuitable for SSSCs. These conflicting requirements show that the practical design and fabrication of novel ARCs is highly challenging. In this study, we have successfully designed an Al–AlN-based SSSCs with self-assembled silkworm cocoon-like nanostructured ARC. The silkworm cocoon-like nanostructure was spontaneously assembled via the aggregation of very small nanoparticles, and a large amount of nanopores was uniformly distributed at the surface. This structure strongly reduced the reflection and scattering of light, thus enhancing the light absorption of the coating. The absorptance of the coating reached a maximum of 0.97, whereas maintaining a low emittance (ε = 0.07). More importantly, these self-assembled nanostructures possess excellent temperature resistance. The optical performance (absorptance and emittance) of the coatings remained almost unchanged after a 200 hour test (250 °C in air). Moreover, a water contact angle of 145.6° was achieved, demonstrating an almost superhydrophobic surface coating, which can effectively prevent surface contamination and improve corrosion resistance. Our findings demonstrate a novel design of ARCs for their use in SSSCs.