Nanofibers or nanofibrous membranes prepared by electrospinning possess many attractive properties, including excellent mechanical properties, high specific surface area and high porosity, making them attractive for sensor application, especially for the electrochemical sensors. Many nanomaterials are used as additives to improve the conductivity, sensitivity and selectivity of sensors. Based on the different modifiers of electrode materials, electrochemical sensors can be divided into enzyme sensors and non-enzyme sensors. In this review, we summarize the recent progress of the electrochemical sensors fabricated by electrospinning, including hydrogen peroxide (H2O2) sensors, glucose sensors and other sensors. In addition, the sensing mechanisms of various electrochemical sensors are introduced in detail. Finally, future research directions of electrochemical sensors based on electrospinning and the challenges faced by large-scale applications of electrospun electrochemical sensors are presented.