In this study, a blend solution of hydroxypropyl-β-cyclodextrin (HPβCD) and benzoxazine monomer (BA-a) was prepared in dimethylformamide to obtain HPβCD/BA-a microfibers by electrospinning technique. The electrospun HPβCD/BA-a microfibers were then thermally cured to obtain crosslinked PolyHPβCD/PolyBA-a microfibers. The compositions of HPβCD (120%, w/v) and BA-a (25%, w/v) were determined as an optimum concentration for producing bead-free and uniform microfibers from blend of HPβCD and BA-a (HPβCD/BA-a). Afterwards, the HPβCD/BA-a microfibers were thermally cured using step-wise curing method to obtain water-insoluble crosslinked PolyHPβCD/PolyBA-a fibrous membrane (FM). However, the fibrous structure of PolyHPβCD/PolyBA-a membrane was subjected to some morphological deformation during thermal curing. Therefore, citric acid (CTR, 5% and 15%, w/v) was incorporated into blend of HPβCD15/BA-a and it was named as HPβCDx/BA-a where x represents the amount of CTR (w/v) in the system. Blend solution of HPβCD15/BA-a was electrospun into microfibers to facilitate the crosslinking and to improve thermal resistance of the crosslinked fibrous membrane (PolyHPβCD15/PolyBA-a). Structural changes and thermal properties of the microfibers before and after curing were studied. Scanning electron microscopy was further used to monitor the morphology and stability of crosslinked PolyHPβCD/PolyBA-a microfibers in water and organic solvents. Consequently, PolyHPβCD15/PolyBA-a microfibers showed an enhanced structural stability in water and organic solvents along with thermal resistance, indicating successful crosslinking. Afterwards, the molecular separation ability of self-standing PolyHPβCD15/PolyBA-a FM was evaluated using dye mixture of Methylene Blue (MB) and Methyl Orange (MO). While both dye molecules are able to form a host-guest interaction between cyclodextrin molecules, crosslinked PolyHPβCD15/PolyBA-a FM showed sorption selectivity against cationic MB dye due to favorable electrostatic attractions between MB and HPβCD compared to anionic MO dye and HPβCD. In addition to selective sorption behavior of MB dye over MO dye, crosslinked PolyHPβCD15/PolyBA-a FM exhibited a decent adsorption capacity for MB in water.