High-aspect-ratio, vertically aligned carbon nanofibers (VACNFs) were conformally coated with aluminum oxide (Al2O3) and aluminum-doped zinc oxide (AZO) using atomic layer deposition (ALD) in order to produce a three-dimensional array of metal-insulator-metal core-shell nanostructures. Prefunctionalization before ALD, as required for initiating covalent bonding on a carbon nanotube surface, was eliminated on VACNFs due to the graphitic edges along the surface of each CNF. The graphitic edges provided ideal nucleation sites under sequential exposures of H2O and trimethylaluminum to form an Al2O3 coating up to 20 nm in thickness. High-resolution transmission electron microscopy (HRTEM) and scanning electron microscopy images confirmed the conformal core-shell AZO/Al2O3/CNF structures while energy-dispersive X-ray spectroscopy verified the elemental composition of the different layers. HRTEM selected area electron diffraction revealed that the as-made Al2O3 by ALD at 200 °C was amorphous, and then, after annealing in air at 450 °C for 30 min, was converted to polycrystalline form. Nevertheless, comparable dielectric constants of 9.3 were obtained in both cases by cyclic voltammetry at a scan rate of 1000 V/s. The conformal core-shell AZO/Al2O3/VACNF array structure demonstrated in this work provides a promising three-dimensional architecture toward applications of solid-state capacitors with large surface area having a thin, leak-free dielectric.