The applications of electrospun carbon fiber webs to the development of energy storages devices, including both supercapacitors and lithium ion batteries (LIB), are reviewed. Following a brief discussion of the fabrication process and characterization methods for ultrafine electrospun carbon fibers, recent advances in their performance as supercapacitors and LIBs anode materials are summarized. Optimization of the overall electrochemical properties of these materials through choice of thermal treatment conditions, incorporation of additional active components (such as carbon nanotubes, metal oxides, and catalysts), and generation of novel fibrous structures (such as core-shell, multi-channel or porous fibers) is highlighted. Further challenges related to improving the conductivity, surface area, and mechanical properties of the carbon nanofiber webs, as well as the scale-up ability of the fabrication technique, are discussed.