Carbon nanofiber-supported Pt–Pd alloy composites were prepared by co-electrodepositing Pt–Pd alloy nanoparticles directly onto electrospun carbon nanofibers. The morphology and size of Pt–Pd alloy nanoparticles were controlled by the surface treatment of carbon nanofibers and the electrodeposition duration time. Scanning electron microscopy/energy dispersive spectrometer (SEM)/(EDS) and x-ray photoelectron spectroscopy (XPS) were used to study the composition of Pt–Pd alloy on the composites, and the co-electrodeposition mechanism of Pt–Pd alloy was investigated. The resultant Pt–Pd/carbon nanofiber composites were characterized by running cyclic voltammograms in oxygen-saturated 0.1 M HClO4 at 25 °C to study their electrocatalytic ability to reduce oxygen. Results show that Pt–Pd/carbon nanofiber composites possess good performance in the electrocatalytic reduction of oxygen. Among all Pt–Pd/carbon nanofibers prepared, the nanofiber composite with a Pt–Pd loading of 0.90 mg/cm2 has the highest electrocatalytic activity by catalyst mass.