Conventional electrospinning is an efficient method to fabricate polymer nanofibers which are usually collected as non-woven mats. Recently, in order to fabricate a nanofiber yarn, conjugate electrospinning has been developed using coupled spinnerets applied with two high electrical voltages of opposite polarities In this paper, poly(vinylidenefluoride-co-hexafluoropropylene) (PVDF-HFP) nanofiber yarns are prepared by conjugate electrospinning. The effects of the concentration and delivery rate of polymer solution and the distance between coupled spinnerets on the structure of PVDF-HFP nanofiber yarns are investigated. The structure of the nanofiber yarns is observed by scanning electron microscopy (SEM). The mechanical properties of the nanofiber yarns are measured by electronic fiber strength tester. The results show that the PVDF-HFP nanofiber yarn consists of a large number of nanofibers aligned well along the longitudinal axis of the yarn, and the nanofibers have diameters ranging from several hundred nanometers to a few microns. The diameter of nanofibers in yarns increases with the increase in the polymer concentration, which significantly affects the structure of nanofiber yarns. The PVDF-HFP nanofiber yarn electrospun from the polymer solution with a concentration of 45% has the highest tensile strength of 0.25 cN/dtex and an elongation of 180.13%.