As an innovative extension of electrospinning, coaxial electrospinning could be used to fabricate polymer nanofibers with unique core-sheath or hollow structures. In this review, the effects of both internal and external factors on the fibers are briefly introduced. In addition to the inherent parent polymer properties, various nanoparticles, metal salts and other materials could be added to the polymer matrix to achieve integrated multi-functions. The preparation of carbon, ceramic and metal nanofibers from co-axial electrospinning is reviewed. With a large specific surface area, high mechanical strength and other unique properties, their applications in energy storage, luminescence, catalysis and filtration are critically reviewed with detailed examples.