Loading nanoparticles is a valuable way to construct functional fiber materials, yet the lack of homogeneity and easy agglomeration hinder its functional effect. Hyper-branched polyester (HBPE) has been identified as the ideal delivery vehicle for nanoparticles. Its application in nanofibers can be a promising approach to enhancing the loading efficiency. In this study, adjustable core-sheath structured polyacrylonitrile (PAN)/HBPE nanofibers were fabricated owing to the phase separation of two components during centrifugal spinning, and zinc oxide nanoparticles (ZnO NPs) were further introduced into the sheath. Scanning electron microscopy, transmission electron microscopy, energy-dispersive spectroscopy, and so forth were utilized to characterize the morphology of the obtained nanofibers. Results indicated that the thickness of sheath in PAN/HBPE nanofibers could expand from 33.33 to 57.14% as the mass ratio of PAN/HBPE decreased from 8:2 to 5:5. Additionally, the ZnO NPs were encapsulated and dispersed by HBPE and successfully delivered to the sheath layer of the nanofibers. Therefore, the Zn content on the surface of PAN/HBPE/ZnO NP nanofibers can reach 17.86 wt % with only 6 wt % ZnO NPs doped, representing a 90% increase compared with HBPE-free nanofibers. Besides, the PAN/HBPE/ZnO NP nanofibers exhibited excellent air permeability and qualified biocompatibility, as well as outstanding functional release. The antibacterial rates against Escherichia coli and Staphylococcus aureus reached 96.62 ± 0.34 and 99.55 ± 0.78%, respectively. This facile processing strategy subtly combines the advantages of material and structure, providing insights to better achieve efficient loading of nanoparticles on nanofibers, enabling more researchers to customize functional materials.