This article studies the hygroscopicity of moso bamboo (Phyllostachys edulis) with a gradient fiber structure assessed by a dynamic vapor sorption (DVS) apparatus and fitted with a Haillwood–Horrobin (H–H) model. The effects of the chemical composition, gradient fiber structure, and mesopore structure of the bamboo were also investigated. The results demonstrate that the hygroscopicity of bamboo gradually increases from the outer to the inner layer along the thickness of the culm wall, which is related to the gradient distribution of the fibers. The structure–function relationships between the chemical composition, multi-scale structure, and hygroscopicity identified in this study provide a theoretical basis for bamboo drying and storage technology, as well as the processing and application of bamboo fiber-based composites.