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The superhydrophobicity of biological surfaces with dual-scale roughness has recently received considerable attention because of the unique wettability of such surfaces. Based on this, artificial micro/nano hierarchical structures with structured sidewalls and smooth sidewalls were designed and the influences of sidewall configurations (i.e., structured and smooth) on the wetting state of micro/nano hierarchical structures were systematically investigated based on thermodynamics and the principle of minimum free energy. Wetting transition and superhydrophobic stability were then analyzed for a droplet on dual-scale rough surfaces with structured and smooth sidewalls. Theoretical analysis results show that dual-scale rough surfaces with structured sidewalls have a larger “stable superhydrophobic region” than those with smooth sidewalls. The dual-scale rough surfaces with smooth sidewalls can enlarge the apparent contact angle (ACA) without improvement in the superhydrophobic stability. By contrast, dual-scale rough surfaces with structured sidewalls present an advantage over those with smooth sidewalls in terms of enlarging ACA and enhancing superhydrophobic stability. The proposed thermodynamic model is valid when compared with previous experimental data and numerical analysis results, which is helpful for designing and understanding the wetting states and superhydrophobic stability of surfaces with dual-scale roughness.