The air is a fundamental element for the life on Earth. Rapid urbanization and industrialization release large amounts of pollutants (harmful gases, microorganisms, and particulate matter, among others) into the atmosphere, leading to health hazards. Air filtration is still the most used and promising technique for protecting air against pollutants. The quality and efficiency of filtering process are dependent of the material used for the filter and other filter's properties. Several methods can be used for manufacturing filters, one of them uses fibrous membranes obtained mainly through electrospinning from polymeric solutions. Electrospinning is a technique that combines the application of an electrostatic field to a polymer solution that induces the fluid to move and, due to the solvent evaporation, results in the fibers formation. Electrospun membranes are constituted by fibers that the sizes spread on submicro and or nanometric scales. This review focuses on fiber membranes obtained by electrospinning for filtration of particulate matter. It is addressed the effect of solution, processing, and ambient parameters on the morphology and dimensional characteristics of fiber membranes. The basic principles of air filtration, test, and characterization of filter performance are also presented. The research progress on electrospun nanofibers as air filters in recent years is summarized and discussed. Finally, conclusion and future perspectives in electrospun fibers for air filtration are provided and discussed.