Nanofiber bundles with specific areas bring a new opportunity for selective adsorption and oil/water or air separation. In this work, nanofiber bundles were prepared by the electrospinning of immiscible polystyrene (PS)/N-trifluoroacetylated polyamide 6 (PA6-TFAA) blends via the introduction of carbon nanotubes (CNTs) or a copolymer of styrene and 3-isopropenyl-α, α’-dimethylbenzene isocyanate (TMI), which was denoted as PS-co-TMI. Herein, CNT was used to increase the conductivity of the precursor for enhancing the stretch of PS droplets under the same electric field, and PS-co-TMI was used as a reactive compatibilizer to improve the compatibility of a PS/PA6-TFAA blend system for promoting the deformation. Those obtained nanofiber bundle membranes showed an increase in tensile strength and high hydrophobicity with a water contact angle of about 145.0 ± 0.5°. Owing to the special structure, the membranes also possessed a high oil adsorption capacity of 31.0 to 61.3 g/g for different oils. Moreover, it exhibits a high potential for gravity-driven oil/water separation. For example, those membranes had above 99% separation efficiency for silicon oil/water and paraffin wax/water. Furthermore, the air filtration efficiency of nanofiber bundle membranes could reach above 96%, which might be two to six times higher than the filtration efficiency of neat PS membranes.