Fuel cells, rechargeable metal–air batteries, metal-ion batteries, and supercapacitors have been regarded as prospective energy sources technologies to replace the fossil energy. Moreover, electrochemical sensors also have been successfully developed as promising platforms for detecting pollutants, drug analysis, and healthcare monitoring. Electrospinning is a scalable and suitable technique to design and fabricate diverse nanofibers and their nanocomposites for key components in electrochemical applications. Herein, a comprehensive review of electrospinning, from the technological innovations to the novel electrospun composite nanofibers, is provided. More importantly, the recent advances on the diverse components of electrochemical devices are highlighted, followed with the detailed discussion about the corresponding enhancement mechanism based on the electrospun nanomaterials. Finally, the currently faced challenges on the fabrication of electrospun nanomaterials are raised and a brief perspective for the future development of electrospun nanomaterials-based electrochemical applications is prospected.