In this study, hydrophilic pullulan, which is favorable for cell adhesion, proliferation, and differentiation, was selected as a modifier for the preparation of poly(3-hydroxybutyrate-co-4-hydroxybutyrate) (P(3HB-co-4HB))/pullulan nanofibers via electrospinning to improve the biocompatibility of P(3HB-co-4HB) and increase the drug loading of composite fibers. Alkyl polyglycoside was used as the emulsifying agent to promote emulsification and stabilize the P(3HB-co-4HB)/pullulan composite solution. Drug-loading property of the nanofibers with a shell-core structure is increased because gelatin was not formed into fibers via electrospinning, thereby forming a stable drug-containing gelatin solution in the core layer. Finally, P(3HB-co-4HB)/pullulan-gelatin shell-core nanofibers were prepared. The intermolecular interaction, morphology, crystallization properties, mechanical properties, morphology, sustained release, and biocompatibility of composite nanofibers were characterized. Results show that the crystallization property of P(3HB-co-4HB)/pullulan composite nanofibers increases continuously with an increase in the pullulan content. As the pullulan content increases, the strain and stress of P(3HB-co-4HB)/pullulan nanofibers increase initially and decrease later. At the mass ratio of P(3HB-co-4HB) to pullulan of 10:2, P(3HB-co-4HB)/pullulan composite nanofibers exhibit a uniform morphology with an average diameter of 590 nm and porosity of 70.71%. At this mass ratio, the P(3HB-co-4HB)/pullulan-gelatin/drug shell-core structure, which sustained a release effect for more than 180 h, has potential applications as biomaterials without cytotoxicity.