Electrospinning is known to be a facile and effective technique to fabricate fibers of a controlled diameter-distribution. Among a multitude of polymers available for the purpose, the attention should be addressed to the environmentally compatible ones, with a special focus on sustainability. Polylactic acid (PLA) is a widespread, non-toxic polymer, originating from renewable sources and it can degrade into innocuous products. While the production of fibrous membranes is attractive for airborne particles filtration applications, their impact on the removal of gaseous compounds is generally neglected. In this study, electrospun PLA-based nanofibers were functionalized with cyclodextrins, because of their characteristic hydrophobic central cavity and a hydrophilic outer surface, in order to provide adsorptive properties to the composite. The aim of this work is to investigate a hybrid composite, from renewable sources, for the combined filtration of particulate matter (PM) and adsorption of volatile organic compounds (VOCs). Results show how their inclusion into the polymer strongly affects the fiber morphology, while their attachment onto the fiber surface only positively affects the filtration efficiency.