Understanding the effect of a porous TiO2 nanolayer on the optical scattering and absorption through electrospun fibers is of great importance for the design and development of advanced optical extinction materials. Based on electrospinning and controllable self-assembly techniques, pure electrospun poly(vinylidene fluoride) (PVDF) fibers and TiO2-coated ones with different self-assembly cycles were prepared. The effect of TiO2 self-assembly cycles on surface parameters, e.g., thickness, assembled content, and porosity of the TiO2 nanolayer were determined by scanning electron microscopy, thermogravimetric analysis, and Fourier transform infrared spectroscopy. With an increase in the self-assembly cycles, the TiO2-coated electrospun PVDF fibers presented rougher surfaces and greater average diameters. According to the characterized surface parameters, the effects of the controllable self-assembly on the optical refractive index, absorption index, and infrared extinction were investigated to increase the optical properties of electrospun PVDF fibers. The results indicated that an increase of almost 120–130 cm−1 in infrared extinction could be achieved through the controllable self-assembly with only 5.7 wt. % assembled TiO2 content. This is highly efficient when compared with other coating modes. We believe that this study could give some positive guidance in the design of TiO2-coated electrospun fibers for improving their surface and optical properties.