In this paper, the effect of the composition of a nonsolvent bath on the physicochemical properties of the polyvinylidene fluoride (PVDF) ultrafiltration membranes were comprehensively investigated using the nonsolvent‐induced phase separation method. Three additives (ethanol, glycerol, or NaCl) were added to the water coagulation bath respectively to obtain different membranes. It was found that the microstructure of the membranes changed from finger‐like structure to the sponge‐like structure with the increase of additives concentration, which successfully improved the retention and mechanical properties of the membranes. In addition, the membrane surface became smoother and more hydrophilic. The membrane fabricated in 30 wt% glycerol bath exhibited outstanding comprehensive properties of retention and anti‐fouling, with a water flux of 243.5 L/(m2 h), a bovine serum albumin rejection of more than 90%, and a flux recovery rate of 97%. From mechanism analysis, the addition of ethanol, glycerol, or NaCl to the coagulation bath altered the thermodynamic stability of the polymer system, and slowed down the rate of solvent and nonsolvent diffusion from a kinetic perspective. This research provides important clues for optimizing the membrane properties, such as flux, rejection, and strength.