Flexible electronics have demonstrated various strategies to enhance the sensory ability for tactile perception and wearable physiological monitoring. Fibrous microstructures have attracted much interest because of their excellent mechanical properties and fabricability. Herein, a structurally robust fibrous mat was first fabricated by electrospinning, followed by a sequential process of functionalization utilizing ultrasonication treatment and in situ polymerization growth. Electrospun polyurethane (PU) microfibers were anchored with multi-walled carbon nanotubes (MWCNTs) to form conductive paths along each fiber by a scalable ultrasonic cavitation treatment in an MWCNT suspension. After, a layer of poly(3,4-ethylene dioxythiophene) (PEDOT) was grown on the surface of PU fibers decorated with MWCNTs to enhance the conductive conjunctions of MWCNTs. Due to the superior electromechanical behaviors and mechanical reinforcement of PEDOT, the PEDOT/MWCNT@PU mat-based device exhibits a wide working range (0–70 kPa), high sensitivity (1.6 kPa−1), and good mechanical robustness (over 18,000 cycles). The PEDOT/MWCNT@PU mat-based sensor also demonstrates a good linear response to different temperature variations because of the thermoelectricity of the PEDOT/MWCNT composite. This novel strategy for the fabrication of multifunctional fibrous mats provides a promising opportunity for future applications for high-performance wearable devices.