A self-wrapping protective textile sleeve and method of construction is provided. The sleeve includes a braided, tubular wall having opposite free edges extending lengthwise between opposite ends. The wall has a first state with a decreased length, increased cross-sectional area and a second state with an increased length, decreased cross-sectional area, as viewed in cross-section taken generally transversely to a central longitudinal axis. The wall further includes braided, heat-set yarns imparting a bias on the wall, wherein the bias causes the wall to self-wrap into a tubular configuration and to remain substantially in the first and second states absent some externally applied force.