The core-sheath nanofibers consisting of polyurethane (PU) core and PU composites sheath with multi-walled carbon nanotubes (MWNTs) were prepared by electrospinning. At low MWNT concentration, MWNTs appeared highly aligned along the fiber axis with some curving in nanotubes, whereas in case of high concentration, some aggregation of MWNTs appeared due to difficulty in full dispersion of nanotubes. In comparison of the single component nanofiber webs, the core-sheath nanofiber webs showed much better mechanical properties of modulus and breaking stress, including an exceptional elongation-at-break. It indicates that the CNT-incorporated core-sheath structure is very effective for enhancing the mechanical properties of nanofiber webs. In addition, the core-sheath nanofibers demonstrated the fast shape recovery, compared with one component fibers of pure shape memory PU and PU/MWNTs, which provides the possibility of fabricating more sensitive intelligent materials.