It is still a serious challenge to construct a water‐soluble polymer‐based air filtration membrane with high efficiency and good mechanical properties by electrospinning. In the study, using polyvinyl alcohol (PVA) and polyacetylimide (PEI) as the main materials, both nanocellulosic crystal (CNC) and zinc oxide (ZnO) as the synergistic reinforcers and methyltrimethoxysilane (MTMS) as the hydrophobic modifier, the electrospun PVA/PEI/CNC/ZnO composite nanofibrous membrane with dual air filtration mechanisms was established. One of the mechanisms was the interception of the three‐dimensional network structure built by the composite nanofibrous membrane, the other was the electrostatic adsorption provided by CNC. Based on the dual air filtration mechanisms, the filtration efficiency of particulate matter 2.5 (PM2.5) reached 98.20%. Moreover, the composite nanofibrous membrane displayed a good thermal stability and could still maintain more than the filtration efficiency of 83% and low‐pressure drop after treatment at 200 °C for 1 h. Moreover, the composite nanofibrous membrane could still maintain the filtration efficiency (97.3%) and low‐pressure drop (110.7 Pa) after five washing cycles after filtration, reflecting good reusability. Interestingly, the PVA/PEI/CNC/ZnO composite nanofibrous membrane was simple to produce and demonstrated excellent filtration efficiency, as well as excellent thermal stability, which could be an effective barrier against PM2.5 invasion.