DEX and rhBMP2-loaded core-shell nanofiber membranes were synthesized by electrospinning method in one step. Zein/PLLA, Zein-DEX/PLLA, Zein/PLLA-rhBMP2, and Zein-DEX/PLLA-rhBMP2 were fabricated; and morphology, hydrophilicity, mechanics properties, in vitro drug release behavior, cell proliferation, and osteogenic differentiation were investigated. The results showed that the dual-release system containing rhBMP2 and DEX prepared by electrospinning had rough surface, constant drug release behavior, and could also significantly promote cell proliferation and osteogenic differentiation of RMSCs, indicating that the scaffolds we fabricated might be suitable for bone tissue engineering.