Electrospun zein membranes were prepared using DMF as solvent. By changing the solution concentration, the electrospinning voltage and the distance between the spinneret and collector, nanofibrous meshes without bead defects could be obtained. In order to improve the mechanical strength of the hydrated zein meshes, core-shell-structured nanofibrous membranes with PCL as the core material and zein forming the shell were prepared by coaxial electrospinning. The core-shell structure of the composite fibers was confirmed by SEM characterization of the fibers, either extracted with chloroform to remove the inner PCL, or elongated to expose their cross-section. The composition and average diameter of the composite fibers could be modulated by the feed rate of the inner PCL solution. It was found that the core-shell fibrous membranes have similar wettability to the electrospun zein mesh. The presence of PCL in the fibers could significantly improve the mechanical properties of the zein membrane.