Nanofibres can be fabricated by various methods and perhaps electrospinning is the most facile route. In past years, electrospinning has been used as a synthesis technique and the fibres have been prepared from a variety of starting materials and show various properties. Recently, incorporating functional nanoparticles (NPs) with electrospun fibres has emerged as one of most exciting research topics in the field of electrospinning. When NPs are incorporated, on the one hand the NPs endow the electrospun fibres/mats novel or better performance, on the other hand the electrospun fibres/mats could preserve the NPs from corrosion and/or oxidation, especially for NPs with anisotropic structures. More importantly, electrospinning shows potential applications in self-assembly of nanoscale building blocks for generating new functions, and has some obvious advantages that are not available by other self-assembly methods, i.e., the obtained free-standing hybrid mats are usually flexible and with large area, which is favourable for their commercial applications. In this critical review, we will focus on the fabrication and applications of NPs–electrospun fibre composites and give an overview on this emerging field combining nanoparticles and electrospinning. Firstly, two main strategies for producing NPs–electrospun fibres will be discussed, i.e., one is preparing the NPs–electrospun fibres after electrospinning process that is usually combined with other post-processing methods, and the other is fabricating the composite nanofibres during the electrospinning process. In particular, the NPs in the latter method will be classified and introduced to show the assembling effect of electrospinning on NPs with different anisotropic structures. The subsequent section describes the applications of these NPs–electrospun fibre mats and nanocomposites, and finally a conclusion and perspectives of the future research in this emerging field is given.