In this work, an electrohydrodynamic casting approach was used to manufacture a carbon nanofiber (CNF) composite material containing bismuth telluride (Bi2Te3) particles. A 10% polyacrylonitrile (PAN) polymer solution was taken as the precursor to generate nanofibers. Bismuth telluride microparticles were added into the polymer solution. The particle-containing solution was electrohydrodynamically cast onto a substrate to form a PAN-based nanofiber composite mat. High temperature heat treatment on the polymeric matrix composite mat in hydrogen atmosphere resulted in the formation of a microparticle-loaded CNF composite material. Scanning electron microscopic (SEM) analysis was conducted to observe the morphology and reveal the composition of the composite material. Energy conversion functions in view of converting heat into electricity, electromagnetic wave energy into heat, and photon energy into electricity were shown. Strong Seebeck effect, hyperthermia, and photovoltaics of the composite mat were found. In addition, the potential applications as sensors were discussed.