Aerogel fibers garner tremendous scientific interest due to their unique properties such as ultrahigh porosity, large specific surface area, and ultralow thermal conductivity, enabling diverse potential applications in textile, environment, energy conversion and storage, and high‐tech areas. Here, the fabrication methodologies to construct the aerogel fibers starting from nanoscale building blocks are overviewed, and the spinning thermodynamics and spinning kinetics associated with each technology are revealed. The huge pool of material choices that can be assembled into aerogel fibers is discussed. Furthermore, the fascinating properties of aerogel fibers, including mechanical, thermal, sorptive, optical, and fire‐retardant properties are elaborated on. Next, the nano‐confining functionalization strategy for aerogel fibers is particularly highlighted, touching upon the driving force for liquid encapsulation, solid–liquid interface adhesion, and interfacial stability. In addition, emerging applications in thermal management, smart wearable fabrics, water harvest, shielding, heat transfer devices, artificial muscles, and information storage, are discussed. Last, the existing challenges in the development of aerogel fibers are pointed out and light is shed on the opportunities in this burgeoning field.