Electrospinning is a straightforward and versatile way to fabricate multilevel structured ultrafine fibers down to the micro-/nanometer scale. In this review, recent achievements in electrospun fibers with multilevel surfaces and inner structures are presented. The multilevel surface structures include branched structures, porous structures, necklace structures and non-cylinder deformed structures. The multilevel inner structures are classified as peapod structures, multiwalled tube structures, wire-in-tube structures and multichannel structures. Furthermore, the outstanding properties of multilevel structured fibrous materials are discussed and highlighted. These electrospun multilevel structured materials have wide applications in sensing, filtration and adsorption, catalysis, energy storage, bio-field, and many other fields.