Waterproof and breathable (W&B) membranes combine fascinating properties of resistance to liquid water penetration and transmitting of water vapor, playing a key role in addressing problems related to health, resources, and energy. Electrospinning is an efficient and advanced way to construct nanofibrous materials with easily tailored wettability and adjustable pore structure, therefore providing an ideal strategy for constructing W&B membranes. In this review, recent progress on electrospun W&B membranes is summarized, involving materials design and fabrication, basic properties of electrospun W&B membranes associated with waterproofness and breathability, as well as their applications. In addition, challenges and future trends of electrospun W&B membranes are discussed.