Waterproof and breathable membranes that prevent liquid water penetration, while allowing air and moisture transmission, have attracted significant attention for various applications. Electrospun nanofiber materials with adjustable pore structures, easily tunable wettability, and good pore connectivity, have shown significant potential for constructing waterproof and breathable membranes. Herein, a systematic overview of the recent progress in the design, fabrication, and application of waterproof and breathable nanofibrous membranes is provided. The various strategies for fabricating the membranes mainly including one‐step electrospinning and post‐treatment of nanofibers are given as a starting point for the discussion. The different design concepts and structural characteristics of each type of waterproof and breathable membrane are comprehensively analyzed. Then, some representative applications of the membranes are highlighted, involving personal protection, desalination, medical dressing, and electronics. Finally, the challenges and future perspectives associated with waterproof and breathable nanofibrous membranes are presented.