The air is a fundamental element for the life on Earth. Rapid urbanization and industrialization release large amounts of pollutants (harmful gases, microorganisms, and particulate matter, among others) into the atmosphere, leading to health hazards. Air filtration is still the most used and promising technique for protecting air against pollutants. The quality and efficiency of filtering process are dependent of material used for the filter and other filter’s properties. Several methods can be used for manufacturing filters, one of them uses fibrous membranes obtained through electrospinning from polymeric solutions. Electrospinning is a technique that combines the application of an electrostatic field to a moving fluid which results in the fibers formation. Electrospun membranes are constituted by fibers that the sizes spread on submicro and or nanometric scales. This review focuses on fiber membranes obtained by electrospinning for filtration of particulate matter. It is addressed the effect of solution, processing and ambient parameters on the morphology and dimensional characteristics of fiber membranes. The basic principles of air filtration and test and characterization of filter performance are presented. The research progress on electrospun nanofibers as air filters in recent years is summarized and examined. Finally, conclusion and future perspectives in electrospun fibers for air filtration are provided and discussed.