Developing cheap, efficient and stable tri-functional catalysts can reduce the producing process of catalysts for different electrochemical energy conversion devices, therefore being important to their commercialization. In light of this, we firstly report an advanced catalyst with both FeP and Fe3O4 nanoparticles embedded in N,P-doped microporous carbon nanofibers obtained by electrospinning. The resultant catalyst exhibits robust catalytic activities towards oxygen reduction reaction, hydrogen evolution reaction and oxygen evolution reaction, all of which surpass or are comparable to previously reported tri-functional catalysts. The Fe3O4 nanoparticles and N-doped carbon are the main active species toward oxygen reduction reaction and oxygen evolution reaction, while FeP nanoparticles remarkably promote the hydrogen evolution reaction. The catalyst also shows excellent oxygen reduction stability due to the unique nanoparticle-embedded microporous carbon nanofibers structure. Furthermore, the obtained tri-functional catalyst is also applied in a disposable zinc-air battery, showing good performance. This work offers an effective method to construct a tri-functional catalyst in electrochemical energy devices.