Activated carbon fibre (ACF), a novel material, has attracted considerable research attention. The pore structures found on the surfaces of ACFs are strongly related to their functionality. Herein, ACF was prepared via a two-step thermal treatment of cotton. The diameters and width distributions of thus-prepared ACFs were characterised using scanning electron microscopy (SEM). SEM analysis also revealed that the pore structures on the surfaces of the cotton-derived ACFs were activated by carbon dioxide. Successful adsorption functionality of these ACFs was characterised using a methylene blue (MB) solution. The effects of the two-step thermal treatment and potential applications of this methodology are also discussed. The proposed method can be used on other fibre products or industrial waste materials generated during the manufacture of cloth and fibres, and the generated ACFs can be used for energy-storage applications.