Electrospinning of polymer materials is a widely used technique, providing nanofibrous mats with high surface to volume ratio and porosity, which show a great interest in many fields such as biomedical applications. However, nanofibers generally present some weakness including low mechanical resistance, poor bioactivity, or lower biocompatibility. Among the surface modification techniques described in the literature, cold plasma treatment may prevent these drawbacks and especially improve properties of electrospun nanofibers. Therefore, this review lays out the state-of-the-art of cold plasma treatment of nanofibers and, especially, its effect on the biocompatibility improvement, the immobilization/adsorption of molecules of interest, the surface grafting/cross-linking, and the use of the modified nanofibers in biomedical applications. In particular, this literature review demonstrates the positive effect of cold plasma treatment onto the mechanical, biological, or chemical properties of nanofibers. Future investigations should go further on the effects of the gas type but also on the possibility of coupling cold plasma treatment with other surface modification techniques.