The composition and properties of edible coatings (ECs) will significantly influence their effects of food preservation. For the first time, whey protein isolates nanofibers (WPNFs), as a novel material with high hydrophobicity and antioxidant activity, combined with carvacrol (CA) as an antimicrobial agent and glycerol (Gly) as a plasticizer, was used to prepare edible coating (WPNFs-CA/Gly) for preserving fresh-cut Cheddar cheese. The prepared WPNFs and ECs emulsions have been investigated with transmission electron microscopy. Furthermore, the antioxidant activity of ECs emulsions, antimicrobial activity of edible films, and the physical properties of edible films, such as micromorphology, thickness, transparency, and moisture content, have also been evaluated. The weight losses and physical characteristics of both coated and uncoated fresh-cut Cheddar cheese samples have been assessed during storage. The DPPH free radical scavenging rate of WPNFs-CA/Gly emulsion was up to 67.89% and the reducing power was 0.821, which was higher than that of WPI-CA/Gly emulsions. The antimicrobial activity of WPNFs-CA/Gly films was nearly 2.0-fold higher than that of WPNFs/Gly films for the presence of CA. The WPNFs-CA/Gly films had smooth and continuous surfaces, and the transparency reached 49.7% and the moisture content was 26.0%, which was better than that of WPI-CA/Gly films. Furthermore, Cheddar cheese with WPNFs-CA/Gly coatings has shown lower weight losses (15.23%) and better textural properties than those uncoated samples. This in-depth study has provided a valuable and noteworthy approach about the novel edible coating material.