Abstract: Electrospinning technology has gained significant attention for its ability to produce nanofibers with high-temperature stability, low thermal conductivity, and excellent mechanical properties, leading to broad applications in aerospace, electromagnetic protection, building energy efficiency, and smart wearables. This review systematically summarizes recent advances and future prospects of electrospun nanofiber-based thermal insulation materials, with a focus on design strategies at the microstructural, macro-assembly, and multilevel composite levels and their influence on thermal insulation performance. At the microscopic level, structures such as hollow fibers, hierarchical pores, and core–shell configurations were designed and constructed to effectively suppress solid heat conduction, gas convection, and radiation heat transfer, thereby significantly reducing the thermal conductivity. On the macroscopic scale, there are designs such as random fiber network structures, oriented fiber structures, and three-dimensional fluffy aerogels, which achieve a balance between thermal insulation performance and flexibility, as well as high-temperature stability. Furthermore, multilevel composite structures were developed to integrate mechanical strength with thermal protection, promoting the development of multifunctional insulating materials. With continuous progress in material design and fabrication, electrospun nanofiber-based thermal insulation materials are expected to achieve high performance, multifunctionality, and intelligence, emerging as a key direction for the next generation of efficient thermal protection systems.