In this paper, environmentally friendly gelatin/β-cyclodextrin (β-CD) composite fiber adsorbents prepared by electrospinning were used for the removal of dyes from wastewater. Fourier transform infrared spectroscopy (FTIR), scanning electron microscopy (SEM) and a universal materials tester were employed to characterize the internal structures, surface morphologies and mechanical strength of the composite fiber adsorbents. Additionally, the fiber was evaluated as an adsorbent for the removal of methylene blue (MB) from aqueous solution. The effects of the raw material ratio, pH, temperature, concentration and adsorption time were studied. The results show that the gelatin/β-CD composite fiber adsorbents possess excellent mechanical strength and high adsorption efficiency for MB. The adsorption equilibrium and adsorption kinetics are well-described by the Langmuir isotherm model and the pseudo-second-order kinetic model, respectively. The theoretical maximum adsorption capacity is 47.4 mg·g−1. Additionally, after nine successive desorption-adsorption cycles, the removal rate is still over 70%. Moreover, the gelatin/β-CD composite fiber adsorbents exhibit excellent adsorption capability for basic fuchsin, gentian violet, brilliant blue R and malachite green dyes. Therefore, owing to the characteristics of degradability, low cost and high-efficiency, the gelatin/β-CD composite fiber can be used as an efficient adsorbent for the removal of dyes from wastewater.