Electrospun is a unique technique for the fabrication of multiscale structured nanofibers (MSNFs), which can be used as functional units for improving the performance of lithium‐based batteries. This review systematically examines how MSNFs, including core–shell, hollow porous, multichannel, wire‐in‐tube, tube‐in‐tube, and hierarchical nanofibers, effectively improve battery performance as components in lithium‐based batteries. The application of aforementioned MSNFs and their chemical modification contributes to the development of lithium‐based batteries with high energy density and enhanced safety when used as electrodes, separators, and electrolytes. Specifically, MSNFs are used to derive electrodes and electrolytes that improve electron/ion transfer rates, increase the utilization ratio of active materials, suppress dendrite growth, and mitigate volume expansion, enabling fast and stable electrochemical reactions at the electrodes. Additionally, MSNFs‐derived separators, which feature more ion transport channels, exceptional mechanical properties, and the capability to inhibit thermal runaway, are also discussed. Finally, the challenges and prospective pathways for electrospun technology in the application of lithium‐based batteries are reviewed.