Electrospinning technique has been well known for its facile production of one-dimensional (1D) continuous fibrous structure. With the advantage of simple setup and scalable capability using this technology, electrospun carbon nanofiber has raised great interest in recent years due to its superior conductive potentiality, mechanical flexibility and well-established fabrication method. This review addresses the various applications of carbon nanofiber produced via electrospinning technique, mainly focusing on energy conversion systems, such as lithium ion battery, supercapacitor, etc. Different precursors, preparation conditions and characterization methods are also reviewed to reveal the very nature of electrospun carbon nanofiber, since its overall performance depends upon its crystallinity, molecular orientation, fiber diameter, surface area and porosity. Nanocomposites combining metal oxides with carbon nanofibers stand as another important topic in this review as the integration of both has been observed to achieve novel superiority, especially in the application of lithium ion battery and supercapacitor.