Abstract: The combination of electrospinning and hot pressing, namely the electrospinning-hot pressing technique (EHPT), is an efficient and convenient method for preparing nanofibrous composite materials with good energy storage performance. The emerging composite membrane prepared by EHPT, which exhibits the advantages of large surface area, controllable morphology, and compact structure, has attracted immense attention. In this paper, the conduction mechanism of composite membranes in thermal and electrical energy storage and the performance enhancement method based on the fabrication process of EHPT are systematically discussed. Moreover, the state-of-the-art applications of composite membranes in these two fields are introduced. In particular, in the field of thermal energy storage, EHPT-prepared membranes have longitudinal and transverse nanofibers, which generate unique thermal conductivity pathways; also, these nanofibers offer enough space for the filling of functional materials. Moreover, EHPT-prepared membranes are beneficial in thermal management systems, building energy conservation, and electrical energy storage, e.g., improving the electrochemical properties of the separators as well as their mechanical and thermal stability. The application of electrospinning-hot pressing membranes on capacitors, lithium-ion batteries (LIBs), fuel cells, sodium-ion batteries (SIBs), and hydrogen bromine flow batteries (HBFBs) still requires examination. In the future, EHPT is expected to make the field more exciting through its own technological breakthroughs or be combined with other technologies to produce intelligent materials.