We report a novel electrospun composite nanofiber-based drug delivery system. In this study, halloysite nanotubes (HNTs) were first used to encapsulate a model drug, tetracycline hydrochloride. Then, the drug-loaded HNTs with an optimized encapsulation efficiency were mixed with poly(lactic-co-glycolic acid) (PLGA) polymer for subsequent electrospinning to form drug-loaded composite nanofibrous mats. The structure, morphology, and mechanical properties of the formed electrospun composite nanofibrous mats were characterized using scanning electron microscopy (SEM), Fourier transform infrared spectroscopy, and tensile testing. In vitro drug release behavior was examined using UV-vis spectroscopy. The biocompatibility of HNT-containing PLGA fibers was evaluated through cell culture and MTT assay. We show that the incorporation of HNTs within the nanofibrous mats does not significantly change the morphology of the mats. In addition, our results indicate that this double-container drug delivery system (both PLGA polymer and HNTs are drug carriers) is beneficial to reduce the burst release of the drug and the introduction of HNTs can significantly improve the tensile strength of the polymer nanofibrous mats. Given the proved biocompatibility of the HNT-containing PLGA nanofibers via MTT assay of cell viability and SEM observation of cell morphology, the drug loaded electrospun composite nanofibrous mats developed in this study may find various applications in tissue engineering and pharmaceutical sciences.