Nanomaterials for air filtration have been studied by researchers for decades. Owing to the advantages of high porosity, small pore size, and good connectivity, nanofiber membranes prepared by electrospinning technology have been considered as an outstanding air-filter candidate. To satisfy the requirements of material functionalization, electrospinning can provide a simple and efficient one-step process to fabricate the complex structures of functional nanofibers such as core–sheath structures, Janus structures, and other multilayered structures. Additionally, as a nanoparticle carrier, electrospun nanofibers can easily achieve antibacterial properties, flame-retardant properties, and the adsorption properties of volatile gases, etc. These simple and effective approaches have benefited from the significate development of electrospun nanofibers for air-filtration applications. In this review, the research progress on electrospun nanofibers as air filters in recent years is summarized. The fabrication methods, filtration performances, advantages, and disadvantages of single-polymer nanofibers, multipolymer composite nanofibers, and nanoparticle-doped hybrid nanofibers are investigated. Finally, the basic principles of air filtration are concluded upon and prospects for the application of complex-structured nanofibers in the field of air filtration are proposed.