We present the successful application of emulsion electrospinning for the encapsulation of a model for highly volatile fragrances, namely (R)-(+)-limonene in a poly(vinyl alcohol) (PVA) fibrous matrix. The influence of the emulsion formulation and of its colloidal properties on the fiber morphology, as well as on the limonene encapsulation efficiency, is described. The release profile of the fragrance from the electrospun nanofibers over a fifteen days range shows that this type of nanofibrous matrices with a high fragrance loading capacity is of great potential for applications in various fields, such as cosmetics or food packaging.