This article demonstrates how important it is to find the optimal heating conditions when electrospun organic/inorganic composite fibers are annealed to get ceramic nanofibers in appropriate quality (crystal structure, composition, and morphology) and to avoid their disintegration. Polyvinylpyrrolidone [PVP, (C6H9NO)n] and ammonium metatungstate [AMT, (NH4)6[H2W12O40]·nH2O] nanofibers were prepared by electrospinning aqueous solutions of PVP and AMT. The as-spun fibers and their annealing were characterized by TG/DTA-MS, XRD, SEM, Raman, and FTIR measurements. The 400–600 nm thick and tens of micrometer long PVP/AMT fibers decomposed thermally in air in four steps, and pure monoclinic WO3 nanofibers formed between 500 and 600 °C. When a too high heating rate and heating temperature (10 °C min−1, 600 °C) were used, the WO3 nanofibers completely disintegrated. At lower heating rate but too high temperature (1 °C min−1, 600 °C), the fibers broke into rods. If the heating rate was adequate, but the annealing temperature was too low (1 °C min−1, 500 °C), the nanofiber morphology was excellent, but the sample was less crystalline. When the optimal heating rate and temperature (1 °C min−1, 550 °C) were applied, WO3 nanofibers with excellent morphology (250 nm thick and tens of micrometer long nanofibers, which consisted of 20–80 nm particles) and crystallinity (monoclinic WO3) were obtained. The FTIR and Raman measurements confirmed that with these heating parameters the organic matter was effectively removed from the nanofibers and monoclinic WO3 was present in a highly crystalline and ordered form.