Flexible CeO₂–TiO₂ fibrous membrane was prepared by an electrospinning combined sol–gel method. The composition, structure, and morphology of the membrane were thoroughly investigated with XRD, FT-IR, N₂ adsorption–desorption, SEM and TEM. The tensile-strength of the TiO₂–CeO₂ was evaluated with a tensile tester and the highest strength (1.38 MPa) was attained at a Ce and Ti molar ratio of 5 : 100, which was 3 times as high as that of pure TiO₂. After Pd was loaded on the fibers, the strength of fibrous membrane (1.28 MPa) stayed almost the same. Moreover, the Pd/CeO₂–TiO₂ fibrous membrane exhibits high thermal stability against long time usage and retains its strength up to 1.22 MPa after 400 °C for 20 h. Strength performance is mainly due to effective size control of the particles composing the nanofibers; this endows the fibrous membrane with application potential for high efficiency particle filtration. The best filtration performance had an efficiency of 99.86% and a corresponding pressure drop of 178 Pa. At the same time, the fibrous membrane also exhibits good low-temperature CO oxidation performance with a complete conversion of CO to CO₂ at 200 °C and no decrease of catalytic activity over 30 h. The excellent properties of this Pd/CeO₂–TiO₂ fibrous membrane enrich the applications of inorganic fibrous membranes simultaneously for air filtration and catalysis.