Silk, which has excellent mechanical toughness and is lightweight, is used as a structural material in nature, for example, in silkworm cocoons and spider draglines. However, the industrial use of silk as a structural material has garnered little attention. For silk to be used as a structural material, its thermal processability and associated properties must be well understood. Although water molecules influence the glass transition of silk, the effects of water content on the other thermal properties of silks are not well understood. In this study, we prepared Bombyx mori cocoon raw fibers, degummed fibers, and films with different water contents and then investigated the effects of water content on crystallization, degradation, and water removal during thermal processing. Thermal gravimetric analyses of the silk materials showed that water content did not affect the thermal degradation temperature but did influence the water removal behavior. By increasing the water content of silk, the water molecules were removed at lower temperatures, indicating that the amount of free water in silk materials increased; additionally, the glass transition temperature decreased with increasing water plasticization. Differential scanning calorimetry and wide-angle X-ray scattering of the silk films also suggested that the water molecules in the amorphous regions of the silk films acted as a plasticizer and induced β-sheet crystallization. The plasticizing effect of water was not detected in silk fibers, owing to their lower amorphous content and mobility. The structural and mechanical characterizations of the silk films demonstrated the silk film prepared at RH 97% realized both crystallinity and ductility simultaneously. Thus, the thermal stability, mechanical, and other properties of silk materials are regulated by their water content and crystallinity.