Activated carbon has an excellent porous structure and is considered a promising adsorbent and electrode material. In this study, activated carbon fibers (ACFs) with abundant microporous structures, derived from natural cotton fibers, were successfully synthesized at a certain temperature in an Ar atmosphere and then activated with KOH. The obtained ACFs were characterized by field emission scanning electron microscopy (FESEM), transmission electron microscopy (TEM), elemental analysis, nitrogen and carbon dioxide adsorption-desorption analysis, X-ray diffraction (XRD), X-ray photoelectron spectroscopy (XPS) and N2 adsorption-desorption measurement. The obtained ACFs showed high porous qualities and had a surface area from 673 to 1597 m2/g and a pore volume from 0.33 to 0.79 cm3/g. The CO2 capture capacities of prepared ACFs were measured and the maximum capture capacity for CO2 up to 6.9 mmol/g or 4.6 mmol/g could be achieved at 0 °C or 25 °C and 1 standard atmospheric pressure (1 atm). Furthermore, the electrochemical capacitive properties of as-prepared ACFs in KOH aqueous electrolyte were also studied. It is important to note that the pore volume of the pores below 0.90 nm plays key roles to determine both the CO2 capture ability and the electrochemical capacitance. This study provides guidance for designing porous carbon materials with high CO2 capture capacity or excellent capacitance performance.