Hierarchically structured nanofibrous membrane with high efficiency, low resistance, and unidirectional moisture transport property was constructed by electrospinning. The effect of PU concentration, PVA/PU mass ratio and SiO2 content on morphology, filtration performance and moisture transport performance was studied. The results show that when the PU concentration is 14%, the quality factor and moisture permeability of the hydrophobic layer are 0.0154 Pa−1 and 263.2 g/(m2·h), respectively. When the PVA/PU mass ratio is 2:1, the hydrophilic layer has a quality factor of 0.0222 Pa−1 and a moisture permeability of 234.6 g/(m2·h). When the SiO2 content is 1%, the SiO2/PVA super hydrophilic layer possesses a quality factor of 0.0281 Pa−1 and a moisture permeability of 175.4 g/(m2·h). Integral construction of the hydrophobic-hydrophilic-super hydrophilic composite nanofibrous membrane is achieved by layer-to-layer electrospinning technique. The quality factor of the hierarchically structured nanofibrous membranes can reach 0.0476 Pa−1. The unidirectional moisture transport index from the hydrophobic layer to the super hydrophilic layer is 1210, whereas, the unidirectional moisture transport index from the super hydrophilic layer to the hydrophobic layer is -116, exhibiting excellent air filtration performance and unidirectional moisture transport performance.