Conductive shape memory polymers as a class of functional materials play a significant role in sensors and actuators. A high conductivity and a high response speed are needed in practical applications. In this work, a conductive shape memory polylactic acid (PLA) microfiber membrane was synthesized by combining electrospinning with chemical vapor polymerization. The shape memory PLA was electrospun into microfibers with different diameters, and a conductive polypyrrole (PPy) coating was applied to the PLA microfiber membranes using vapor polymerization. The conductivity of the microfiber membrane was investigated as a function of different experimental parameters: FeCl3 concentration, PPy evaporation time, and PPy temperature. The maximum conductivity of the membrane prepared in a sub-zero environment is 0.5 S/cm, which can sustain a heat-generating electric current sufficient to trigger the electro-actuated behaviors of the membrane within 2 s at 30 V. Thermographic imaging was used to assess the uniformity of the temperature distribution during the shape recovery process. The low surface temperature is compatible with potential applications in many fields.