The three-dimensional (3D) ultrafine fibrous scaffolds loaded with functional components can not only provide support to 3D tissue repair, but also deliver the components in-situ with small dosage and low fusion frequency. However, the conventional loading methods possess drawbacks such as low loading capacity or high burst release. In this research, an ultralow concentration phase separation (ULCPS) technique was developed to form 3D ultrafine gelatin fibers and, meanwhile, load an anti-inflammatory drug, diclofenac, with high capacities for the long-term delivery. The developed scaffolds could achieve a maximum drug loading capacity of 12 wt.% and a highest drug loading efficiency of 84% while maintaining their 3D ultrafine fibrous structure with high specific pore volumes from 227.9 to 237.19 cm/mg. The initial release at the first hour could be reduced from 34.7% to 42.2%, and a sustained linear release profile was observed with a rate of about 1% per day in the following 30 days. The diclofenac loaded in and released from the ULCPS scaffolds could keep its therapeutic molecular structure. The cell viability has not been affected by the release of drug when the loading was less than 12 wt.%. The results proved the possibility to develop various 3D ultrafine fibrous scaffolds, which can supply functional components in-situ with a long-term.