Single component nanofiller has shown some limitations in its performance, which can be overcome by hybrid nanofillers with two different components. In this work, montmorillonite (MMT)/graphene oxide (GO) hybrid nanofillers were formed by self-assembly and then incorporated into the polyacrylonitrile (PAN) nanofibers by electrospinning process. X-ray diffraction (XRD), atomic force microscopy (AFM), and transmission electron microscopy (TEM) were utilized to analyze the structures of MMT/GO hybrid nanofillers. And the effects of MMT/GO hybrid nanofillers on the morphology, thermal stability, and mechanical properties of PAN/MMT/GO composite nanofibrous membrane were examined by scanning electron microscopy (SEM), thermogravimetric analysis (TGA), and tensile test machine, respectively. The incorporation of MMT/GO hybrid nanofillers into PAN nanofibers showed a noticeable increase up to 30C for the onset decomposition temperature and 1.32 times larger tensile strength than the pure PAN, indicating that the hybrid nanofiller is a promising candidate in improving thermal and mechanical properties of polymers.