Mechanically robust polyacrylonitrile/alumina (PAN/Al2O3) composite membranes were fabricated by electrospinning mixed solution of PAN and Al2O3 nanoparticles. The as-prepared composite membranes of a three-dimensional network based on uniform polymeric interconnected structures exhibit excellent mechanical properties along with high porosity (~64%), high electrolyte uptake (~470%) and good relative absorption ratio (~62% of the initial absorption). The introduced Al2O3 nanoparticles significantly improved the electrolyte compatibility, thermal properties and wettability of membranes. The fabricated PAN/Al2O3–triethylene glycol diacetate–2-propenoic acid butyl ester (PAN/Al2O3–TEGDA–BA) gel electrolytes via immersing membranes in TEGDA–BA show high ionic conductivity up to 2.35×10−3 S cm−1 at 25 °C, coupled with high electrochemical stability (>4.5 V vs. Li/Li+). The half-cells based on Li[Li1/6Ni1/4Mn7/12]O7/4F1/4 electrodes demonstrate remarkably stable charge/discharge performance and excellent capacity retention of ~240.4 mA h g−1 (0.1 C) after 50 cycles with a cut-off voltage of 4.8 V. The results suggest a facile strategy for scalable fabrication of high-performance polymer electrolyte membranes in high-voltage lithium ion batteries.