In order to achieve cost-competitive industrial production of cellulose nanofibers (CNFs), bioethanol extraction and lignocellulose pretreatment from fermented sweet sorghum bagasse were combined with alkaline distillation in this study. CNFs were further prepared from an alkaline-distilled substrate after washing, bleaching, and a high-pressure homogenization process. Lignin-containing cellulose nanofibers (LCNFs) were simultaneously prepared without bleaching. The effects of different alkali loadings on the ethanol quality and performances of CNFs and LCNFs were investigated. Results showed that only 12.94 mg/L of alkali residue was found in extracted ethanol at the highest alkali dosage, which can be removed in the subsequent purification process. Cellulose fibers can be prepared from sweet sorghum bagasse during alkaline distillation, and the crystallinity of pretreated samples increased from 37.2 to 59.5%. It is observed by transmission electron microscopy that the obtained nanofibrils aggregated and formed a network in suspension. The degradation temperature of the CNFs can be increased up to 352 °C, which is 34 °C higher than that of LCNFs due to less hemicellulose content. Wastewater was only generated in the washing process during alkali distillation, which is far less than that generated in a conventional pulping making process. The process scale-up simulation indicates that the coproduction of bioethanol and CNFs or LCNFs by alkaline distillation is environment-friendly and energy-efficient for industrialization.