In this study, core–shell structured polyacrylonitrile (PAN)@polyurethane (PU)/poly (vinylidene fluoride-co-hexafluoropropene) (PVDF-HFP) nanofiber separators are prepared by coaxial electrospinning. The electrochemical properties of the composite separators are evaluated at various ratios of PU to PVDF-HFP in the shell layer. The coaxial electrospinning technique not only preserves the rich pore structure but also ensures good electrolyte permeability, excellent electrolyte retention, and high ionic conductivity. Test cells with the core–shell structured PAN@PU/PVDF-HFP nanofiber separator exhibit impressive reversible discharge capacities across different charge and discharge currents. These findings offer valuable insights into the design and preparation of advanced separators for secondary batteries.