Carbon nanofiber (CNF), as one of the most important members of carbon fibers, has been investigated in both fundamental scientific research and practical applications. CNF composites are able to be applied as promising materials in many fields, such as electrical devices, electrode materials for batteries and supercapacitors and as sensors. In these applications, the electrical conductivity is always the first priority need to be considered. In fact, the electrical property of CNF composites largely counts on the dispersion and percolation status of CNFs in matrix materials. In this review, the electrical transport phenomenon of CNF composites is systematically summarized based on percolation theory. The effects of the aspect ratio, percolation backbone structure and fractal characteristics of CNFs and the non-universality of the percolation critical exponents on the electrical properties are systematically reviewed. Apart from the electrical property, the thermal conductivity and mechanical properties of CNF composites are briefly reviewed, as well. In addition, the preparation methods of CNFs, including catalytic chemical vapor deposition growth and electrospinning, and the preparation methods of CNF composites, including the melt mixing and solution process, are briefly introduced. Finally, their applications as sensors and electrode materials are described in this review article.