The polyacrylonitrile (PAN) nanofiber membrane was prepared by the electrospinning technique. The nitrile group on the PAN nanofiber surface was oxidized to carboxyl group by alkaline hydrolysis. The carboxylic group on the membrane surface was then converted to dye affinity membrane through reaction with ethylenediamine (EDA) and Cibacron Blue F3GA, sequentially. The adsorption characteristics of lysozyme onto the dye ligand affinity nanofiber membrane (namely P-EDA-Dye) were investigated under various conditions (e.g., adsorption pH, EDA coupling concentration, lysozyme concentration, ionic strength, and temperature). Optimum experimental parameters were determined to be pH 7.5, a coupling concentration of EDA 40 μmol/mL, and an immobilization density of dye 267.19 mg/g membrane. To understand the mechanism of adsorption and possible rate controlling steps, a pseudo first-order, a pseudo second-order, and the Elovich models were first used to describe the experimental kinetic data. Equilibrium isotherms for the adsorption of lysozyme onto P-EDA-Dye nanofiber membrane were determined experimentally in this work. Our kinetic analysis on the adsorption of lysozyme onto P-EDA-Dye nanofiber membranes revealed that the pseudo second-order rate equation was favorable. The experimental data were satisfactorily fitted by the Langmuir isotherm model, and the thermodynamic parameters including the free energy change, enthalpy change, and entropy change of adsorption were also determined accordingly. Our results indicated that the free energy change had a negative value, suggesting that the adsorption process occurred spontaneously. Moreover, after five cycles of reuse, P-EDA-Dye nanofiber membranes still showed promising efficiency of lysozyme adsorption.