Electrospinning, as a novel nontextile filament technology, is an important method to prepare continuous nanofibers and has shown its remarkable advantages, such as a broadly applicable material system, controllable fiber size and structure, and simple process. Electrospun nanofiber membranes prepared by electrospinning have shown promising applications in many fields, such as supercapacitors, lithium-ion batteries, and sodium-ion batteries, owing to their large specific surface area and adjustable network pore structure. The principle of electrospinning and key points relevant to its usage in the preparation of high-performance electrochemical energy storage materials are reviewed herein based on recent publications, particularly focusing on research progress of relative materials. Also, this review describes a distinctive conclusion and perspective on the future challenges and opportunities in electrospun nanomaterials.