Organic carbon extracted from direct coal liquefaction residue (DLCR) is an ideal precursor for the preparation of carbon materials. However, investigations into the utilization of the extraction residue (ER) are rarely reported. In this work, ER from DCLR was pretreated with H2O2 to afford oxidized extraction residue (OER). Then, the OER was mixed with polyacrylonitrile (PAN) in N,N-dimethylformamide for the preparation of composite carbon nanofibers by electrospinning. With adding 80 wt.% OER, the composite carbon nanofibers still demonstrate a clear fiber profile and smooth surface under a scanning electron microscope, indicating that the OER has good solubility with PAN in N,N-dimethylformamide. The electrochemical performance characterization of the activated composite carbon nanofiber shows that the P-OER60-AC (activated composite carbon nanofibers prepared with 60 wt.% of OER and 40 wt.% of PAN) has a better electrochemical performance with a specific capacitance of 97 F/g at 0.5 A/g, as compared to the others. Additionally, the P-OER80-AC (activated composite carbon nanofibers prepared with 80 wt.% of OER and 20 wt.% of PAN) is also considerable for the perspective of coal-based solid waste treatment and utilization.