At present, the air is polluted to by sources like particulate matters and industrial waste gases, etc. Air pollution not only causes serious harm to human body, but also is the reason for the climate changes. Electrospun nanofibers are one of the most effective air purification materials to rapidly capture fine particles and gaseous wastes due to their high porosity and special skeleton structures. Thus, the present paper reviews the recent progress in the design of electrospun nanofibers and their practical applications in air purification. Firstly, the basic equipment and principles of electrospinning are introduced for a better understanding of the technology. Secondly, the latest development trends of electrospinning technology are summarized, including the raw materials, methods, structures, types and simulations of electrospinning nanofibers, and the structure optimization strategies for electrospinning nanofibers are outlined in detail. Third, recent reports on the use of electrospun nanofibers in gas purification and particulate filtration are extensively reviewed, focusing on the most prominent examples. Finally, perspectives are provided on growing opportunities, challenges and emerging trends. Electrospun nanofibers and their derived composites will be key to meeting future demands for high-performance nanofiber purification materials.