In this work, we successfully prepared multifunctional boron nitride nanosheets (BNNS)/polyvinyl alcohol (PVA) nanofiber membranes. Using sulfanilic acid (SA) as a medium, hexagonal boron nitride (h-BN) were exfoliated into SA-functionalized BNNS through dry ball-milling process followed with liquid-phase exfoliation based on Lewis acid-base interaction. The f-BNNS/PVA composite nanofiber membranes with different loading amounts of f-BNNS were prepared through electrospinning. The results demonstrated the electrospun f-BNNS/PVA composite nanofiber membranes show high mechanical properties and thermal conductivities. The yield and ultimate tensile strengths of f-BNNS/PVA composite nanofiber membrane at 5 wt% loading amount can reach similar to 8.56 and similar to 11.37 MPa. Meantime, the thermal conductivity of f-BNNS/PVA composite nanofiber membrane with 10 wt% loading amounts of f-BNNS is similar to 0.7328 W/(m.K), almost 6.47 times higher than that of neat PVA membrane. Besides, the f-BNNS/PVA composite nanofiber membrane can also be used as a filtration membrane for fast malachite green (MG) absorption and separation of MG and rhodamine B dyes.