This study uses PVDF, PAN, and coaxial electrospinning technique to build a core‐sheath structure for TiO2@PVDF/PAN electrospun membranes. The resulting electrospun membranes are compared with traditional electrospun membranes in terms of photocatalysis and oil‐water separation, which examines the influences of electrospinning fibrous structure. The test results show that the core‐sheath structure provides TiO2@PVDF/PAN electrospun membranes with a large diameter, high strength, a rough surface, a high photocatalysis, and good oil‐water separation. With PVDF as the sheath and PAN as the core, TiO2@PVDF/PAN electrospun membranes have a maximum strength of 8.96 MPa and exhibit 97% of rhodamine B pollutant after the exposure to the UV light. Moreover, the oil‐water separation rate is 99% and an oil flux is 40 163.79 L·m2·h−1, and the membrane maintains a high flux after 10 cycles, which makes TiO2@PVDF/PAN electrospun membranes an important candidate for treating wastewater produced in industry and daily life.