Oily particles pollution poses a tremendous threat to people's health, so it is urgent to develop air filtration materials with the ability of removing fine oily particles effectively. In this study, a nylon 6 multi-stage structured nanofiber membrane (PA6 MSNM) for effective air filtration of fine oily particles was designed and fabricated by adding a certain amount of tetrabutylammonium hexafluorophosphate (TBAHP) via one-step electrospinning. The PA6 MSNMs were composed of coarse trunk fibres and fine branching fibres. Benefiting from the properties of small pore size and high porosity, the resulting PA6 MSNMs exhibited high average filtration efficiency of 99.80% for oily aerosol particles of 0.20-4.59 μm, a low pressure drop of 251 Pa, and the high quality factor of 0.0248 Pa. More importantly, its filtration efficiencies for oily aerosol particles of 0.25 and 0.30 μm were up to 99.99% and 100.00%, respectively. It is expected that the multi-stage electrospun nanofiber membranes would have wide application prospects in air filtration, particularly for filtering oily particles.