Highly porous nanofiber of acid etched Fe2O3/beta-cyclodextrin/poly (acrylonitrile) (acid etched Fe2O3/CD/PAN) with high molecule-capture ability was obtained through electrospinning Fe2O3/CD/PAN composites and acid etching. The porous membranes were tested by Fourier transform infrared, X-ray diffraction spectroscopies, transmission and scanning electron microscope, and Brunauer-Emmett-Teller area measurement. The highly porous membranes showed much higher surface area than that of Fe2O3/CD/PAN nanofibers. The increasing surface area was related to the loading content of Fe2O3 on the nanofiber membranes. Furthermore, its adsorption behavior and kinetic analysis were studied by using methylene blue which could form inclusion complexes with CD on the membranes. This simple method of producing acid etched Fe2O3/CD/PAN nanofiber membranes is advantageous to improve the structure-performance relationship of electrospinning nanofiber membranes with good filtration capability.