This review presents an overview of electrospun nanomembranes produced from various polymers to filter air pollutants. Air pollutants can be categorised as particulate matter and gaseous pollutants. Both differ from each other in terms of size and chemical composition. Hence, the filter characterisation techniques and capture mechanism also vary. Particulate matter can be effectively captured in nanomembranes, in relation to microfibres, due to its small fibre diameter, small pore size and high specific surface area. Recently, electrospun nanomembranes have been used to filter gaseous pollutants owing to their potential of active surface modification. Different additives which functionalised the nanofibre surface for gaseous pollutant adsorption are also highlighted in this review. The characteristic features of nanofibres influencing the filtration efficiency have been discussed. Furthermore, various research challenges and future trends of electrospun nanomembranes in air filtration have been discussed.