A roll-up spa cover for protecting and insulating an outdoor swim spa includes a multi-layer flexible insulation sheet structure is sized to at least cover a top of a spa and comprises at least two flexible layers. Support members may be attached to the plurality of support members in a parallel spaced relationship. Flexible rods can be removable located onto or into the support members to form an arcing framework over the support members. A rain fly may be overlaid on the flexible rods. The support members may include an angled aperture for receiving an end of the flexible rods and end caps may be provided over ends of the support members. The flexible rods are held in compression between the angled apertures and/or the end caps.