With the rapid development of electronic information technology, the impact of electromagnetic waves (EMWs) on human health, information security, and precision electronic equipment cannot be ignored. Therefore, how to prepare lightweight, flexible and multifunctional materials to shield EMWs is an urgent problem to be solved. Electrospun nanofiber membranes (NFMs) have many merits, such as being lightweight and porous and having a high specific surface area, for electromagnetic interference (EMI) shielding. In this review, the mechanism of EMI shielding as well as the principle and development of electrospinning are first introduced. Then, the commonly used materials in electrospun NFMs for EMI shielding are summarized, and the factors affecting their EMI shielding performance are discussed. Afterward, the modification methods to enhance the EMI shielding performance of NFMs are investigated. Finally, the enhancement effects of different structures of NFMs on their EMI shielding performance are analyzed. This review can provide a more comprehensive understanding of electrospun NFMs used for EMI shielding and play a guiding role in preparing electrospun NFMs with excellent EMI shielding performance in the future.