Carbon nanofibers (CNFs) have been incorporated into poly(methyl methacrylate) (PMMA) through electrospinning. The resulting micro- and nanofibers have been characterized by Scanning Electron Microscopy (SEM), which confirmed fiber formation and demonstrated a core-sheath structure of the PMMA fibers. Thermogravimetric Analysis (TGA) was used to obtain the thermal properties of the materials, indicating an enhancement in the thermal properties of the composite fibers. In addition, Fourier Transform Infrared Spectroscopy (FTIR) was utilized to investigate the interactions of PMMA micro- and nanofibers with CNFs, demonstrating the preferred sites of intermolecular interactions between the polymer matrix and the filler.