Since thermal insulation materials with a single function cannot satisfy the increasing requirements for complex usage, the combination of thermal insulation with flame retardancy is desirable in multiple applications. Herein, phosphorous-containing flame retardant modifier (5.0 wt.%, 9.0 wt.%, and 13.0 wt.%) and hollow silica microsphere (130 nm of diameter) were composited with polyacrylonitrile-based carbon nanofibers via electrospinning technique. Electrospun phosphorous/silica/carbon nanofibers (P/HSM/CF) exhibited a uniform and clear fibrous structure (508, 170, and 1550 nm of average fiber diameter) with modified uniform and complete spherical silica. Reduced thermal conductivity (39.9–41.2 mW/m/K) and enhanced limiting oxygen index (29.5–33.5%) were achieved, enabling fire protection grade of fiber membrane from UL-94 V-1 grade to UL-94 V-0 grade efficiently. Moreover, favorable tensile strength (8.64–9.27 MPa) and elongation at break (43.28–48.54%) were obtained, presenting expected applications in structural components. The findings of this work provided a valuable reference for the fabrication of carbon nanofiber-based thermal insulation materials with excellent flame retardant and mechanical properties.