Recently, the multi-level interwoven structured micro/nano fiber membranes with coarse and fine overlaps have attracted lots of attention due to their advantages of high surface roughness, high porosity, good mechanical strength, etc., but their simple and direct preparation methods still need to be developed. Herein, the multi-level structured micro/nano fiber membranes were prepared novelly and directly by a one-step electrospinning technique based on the principle of micro-phase separation caused by polymer incompatibility using polystyrene (PS) and polyvinylidene fluoride-hexafluoropropylene copolymer (PVDF-HFP) as raw materials. It was found that different spinning fluid parameters and various spinning process parameters will have a significant impact on its morphology and structures. Under certain conditions (the concentration of spinning solution is 18 wt%, the mass ratio of PS to PVDF-HFP is 1:7, the spinning voltage is 30 kV, and the spinning receiving distance is 18 cm), the PS/PVDF-HFP membrane with optimal multi-level structured micro/nano fiber membranes could be obtained, which present an average pore size of 4.38 ± 0.10 μm, a porosity of 78.9 ± 3.5%, and a water contact angle of 145.84 ± 1.70°. The formation mechanism of micro/nano fiber interwoven structures was proposed through conductivity and viscosity tests. In addition, it was initially used as a separation membrane material in membrane distillation, and its performance was preliminarily explored. This paper provides a theoretical and experimental basis for the research and development of an efficient and feasible method for the preparation of multi-level micro/nano fiber membranes.