Core-shell structured fiber, as a functional composite fiber, has the excellent properties of both core and shell layers. Its special structure and properties greatly broaden the application field of the fibers. Therefore, core-shell structured fiber has become a research hotspot. Electrospinning is an efficient and facile technique for the fabrication of polymer nanofibers, which has attracted much attention in recent years. The method for preparing core-shell structured fibers with controllable structure and morphology is especially useful for guiding its application. The preparation methods of core/shell nanofibers are presented in this review. The methods mainly include single nozzle through phase separation, coaxial electrospinning, emulsion electrospinning, and template method. The major factors for forming the core/shell structure and the effect on the properties of the fibers are discussed in detail. The new research progress of electrospinning core-shell structured fibers in recent years is summarized. The various potential applications in drug controlled release system, tissue engineering scaffold, multifunctional wound dressing, wastewater treatment material, superhydrophobic material, and other fields are also reviewed.