As an emerging nanomaterial, nanofibrous aerogel possesses advantages such as low density, large specific surface area, low thermal conductivity, and high mechanical stability. Preparing nanofiber aerogels through electrospinning is an emerging research topic. This review focuses on the key fabrication techniques for electrospun nanofibrous aerogels, including freeze-drying, direct electrospinning, layer-by-layer stacking, and thermally induced self-agglomeration. In addition, by combining nanofibers’ distinctive properties and aerogels’ physical characteristics, nanofibrous aerogels demonstrate various potential academic and industrial applications, including thermal insulation, sound absorption, solar desalination, air filtration, oil–water separation, and biomedical engineering. This paper provides an overview of the fundamentals and recent advancements in electrospinning, summarizes the fabrication methods and applications of the most representative nanofibrous aerogels in recent years, and offers insights into nanofibrous aerogels’ challenges and prospects.