Different components and well-defined structures may cooperatively improve the performances of composite materials and enhance their applicability. In this paper, core-shell alpha-Fe2O3@NiO nanofibers (alpha-Fe2O3@NiO CSNFs) with hollow nanostructures are synthesized by a facile coaxial electrospinning method and calcination procedure. Considering the temperature-dependent solute degradation process and different influencing factors including the solvent evaporation rate and phase separation, a multistage formation mechanism has been proposed to understand the formation of the CSNF structure. The gas sensing tests indicate that the alpha-Fe2O3@NiO CSNFs exhibit significantly improved gas sensitivity and selectivity performances in comparison with NiO hollow nanofibers (NiO HNFs) and alpha-Fe2O3 nanofibers (alpha-Fe2O3 NFs). The response of alpha-Fe2O3@NiO CSNFs to 50 ppm HCHO at 240 degrees C is similar to 12.8, which is 10- and 7.1-times higher than those of pure NiO and a-Fe2O3, respectively. The synergy between the heterojunction, core-shell hollow nanofiber structure and Fe loading into the NiO shell contribute to the enhanced response of alpha-Fe2O3@NiO CSNFs. Moreover, extremely fast response-recovery behavior (similar to 2 s and similar to 9 s) has been observed at the optimal working temperature of 240 degrees C. The detection limit for HCHO could be lower than 1 ppm. These favorable gas sensing performances make the alpha-Fe2O3@NiO CSNFs promising materials for gas sensors.