Activated carbon fibers (ACFs) are widely used adsorbent materials for wastewater treatment. In this study, polyacrylonitrile-based ACFs (PAN–ACF) were modified with oxalic acid to promote their adsorption of p-nitrophenol (PNP) in wastewater. The obtained results revealed that the adsorption efficiency of the modified ACFs amounted to 98.05%. The photocatalytic degradation of PNP by ACFs loaded with nano-TiO2 and nano-ZnO photocatalysts was examined as well; under ultraviolet (UV) light irradiation, their PNP removal rates reached 99.85% and 98.31%, respectively. Moreover, the effects of pH, PNP concentration, and catalyst concentration on the PNP adsorption efficiency were systematically investigated. By conducting kinetic studies, it was found that the PNP adsorption on the PAN–ACF surface followed a pseudo-first-order model, while the PAN–ACF/TiO2 and PAN–ACF/ZnO obeyed a pseudo-second-order model, and all samples followed the Langmuir adsorption isotherm. Additionally, an integrated high-pressure microwave reactor was designed and fabricated, and the possibility of degrading PNP through the microwave-assisted catalytic oxidation by PAN–ACF/TiO2 was considered. The results of this work suggest that the novel modified PAN–ACF, PAN–ACF/TiO2 and PAN–ACF/ZnO adsorbents are promising materials for the removal of PNP-based pollutants from wastewater due to their facile application procedure, low fabrication costs, and good scale-up abilities.