Water pollution issues are becoming more and more serious, particularly those caused by heavy metal ions. In this paper, β-cyclodextrin (β-CD) and polyvinylidene fluoride (PVDF) were chosen to prepare composite films by electrospinning technology. The microstructure, crystalline phases, mechanical properties, porosity, and adsorption performance of β-CD/PVDF composite films were analyzed. The results show that the β-CD/PVDF composite fibers were smooth and randomly deposited to form an interconnected three-dimensional network structure. The diameter of the β-CD/PVDF composite fibers ranged from 0.22 to 0.33 μm, and the fiber diameter distribution was uniform. The maximum porosity was 79.56% when the content of β-CD was 2%. After adding the β-CD, the tensile strength increased to 13.33 MPa and the elongation at break increased to 14.20% as well. With the β-CD content increasing, the adsorption capacity of the β-CD/PVDF composite films for Cu2+ increased to 182.65 mg g−1. In addition, the second-order kinetic model was suitable to describe the adsorption process, and the chemical adsorption was the predominant mechanism of the adsorption process due to the presence of β-CD. The results suggest that the β-CD/PVDF composite films may be a potential adsorbent for Cu2+ adsorption.