Membrane distillation (MD) is a promising desalination technology that is capable of utilizing low-grade thermal energy to treat highly saline feed water. Conventional hydrophobic MD membranes limit the application of MD to desalination of relatively clean water without amphiphilic contaminants, as those amphiphilic constituents promote wetting of MD membrane and failure of the MD process. Here, we report a facile approach to fabricate superamphiphobic MD membranes with anti-surfactant-wetting property based on coaxial electrospinning. Silica nanoparticles were used as the sheath solution to create electrospun fibers with nanoscale roughness on individual fibers. After surface fluorination, the fabricated membrane exhibited superamphiphobicity as reflected by very high sessile drop contact angles with both water and oil. Robust MD performance in the presence of surfactants was observed with the superamphiphobic membrane, but not with commercial hydrophobic membranes or amphiphobic membrane without local nanoscale roughness.