As an indispensable substance to human survival, air is contaminated by a variety of sources, such as from industrial emissions and human-living activities. Among the adsorption/absorption materials, electrospun nanofibers with high specific surface area have been counted as potential candidates for environmental protection or governance, especially for rapid capture of gas pollutants. This review presents the state-of-the-art developments in rational design of electrospun nanofibers for gas purification. Firstly, the development history and design principles of electrospinning technique are discussed, in order to clearly understand the commonly used technology. Secondly, the structure design methods and derived improvements typically based on the original electrospinning are extensively summarized. Thirdly, the innovative design for composition, structure, and properties of electrospun nanofibers to purify different gaseous pollutants are extensively clarified, including NO, CO, CO, HS, VOCs and SO. Finally, some newly emerging challenges and opportunities for constructing high-performance electrospun nanofibers from lab level towards practical applications are illustrated.