Nanofiber yarns were continuously manufactured by a homemade plying and twisting device using nanofiber filaments, and the structures of the nanofibers were examined. A twist setting process was performed on the yarns following the plying and twisting process, and the influences of temperatures and times on twist setting effects and mechanical properties of the as-treated yarns were studied. Meanwhile, the effects of plies and twists on structures and mechanical properties of the yarns were also investigated. The results show that the structures of the nanofibers were demonstrated to have a skin-core structure, and the optimum twist setting temperature and time were determined to be 90°C and 30 min, respectively. With more filaments plied into a yarn, the measured values of yarn diameters were all smaller than the theoretical ones, the yarn-diameter uniformities improved, the nanofiber diameters decreased, and the alignment degree of nanofibers along the twist direction (ADT) improved. The breaking stress and initial modulus increased when the number of plies increased from 1 to 4, but when more than four filaments were plied into a yarn, both of them decreased, while the breaking strain increased. With increasing yarn twists, both nanofiber and yarn diameters decreased, but the ADT increased. The breaking stress and initial modulus initially increased as the twists increased to 2500 twists per meter before decreasing, while the breaking strain kept increasing. Meanwhile, the breaking strength of the plied yarns was considerably greater than that of the non-plied ones, which ensured the possibility of subsequent 3D manufacturing.