Nanocomposite fibers are fibrous materials with specific properties and functionalities, which are prepared by introducing nanomaterials or nanostructures in the fibers. Polymeric nanocomposite fibers exhibit multiple functionalities, showing great application potential in healthcare, aerospace, mechanical engineering, and energy storage. Here, six functionalities of polymer nanocomposite fibers are reviewed: mechanical reinforcement, resistance to electromagnetic interference and flame, thermal and electrical conduction, generation of far-infrared ray, negative ion and electricity, energy storage, and sensing. For each functionality, the fiber component selection and preparation methods are summarized. The commonly used polymers comprise natural and synthetic polymers, and typical nanomaterials include carbon-based, polymer-based, metal-based, and metal oxide-based ones. Various compounding strategies and spinning approaches, such as wet-spinning, melt-spinning, and electrospinning, are introduced. Moreover, the functional properties of fibers fabricated from different constituents and by different strategies are compared, providing a reference for performance optimization. Finally, the prospective directions of research and application are discussed, and possible approaches are suggested to facilitate the development of advanced nanocomposite fibers.