A combination of straw filtration and nanofiltration was investigated for the first time as a sustainable approach aimed at valorizing olive mill wastewaters (OMWs) within a circular economy strategy. Ground straw filters with different granulometry (120, 250 and 500 μm) were tested in the first step to clarify the raw wastewater. The 500 μm filter offered the best performance due to a lower exposed surface of the filtering fibers and a shorter filtering time, allowing us to reduce about 70% of the chemical oxygen demand (COD) of the raw wastewater. Three different commercial membranes in a flat-sheet configuration with a molecular weight cut-off (MWCO) in the range 150–500 Da were tested to fractionate the clarified wastewater according to a dead-end configuration. Among the investigated membranes, a polymeric membrane of 500 Da (NFA-12A) exhibited the highest productivity in selected operating conditions (steady-state values of 11.4 L/m2 h at 20 bar and 24 ± 2 °C). In addition, flux decays for this membrane were lower than the other two tested membranes, indicating a lower propensity to fouling phenomena. Higher rejections towards total polyphenols and total antioxidant activity (TAA) (76.6% and 73.2%, respectively) were also observed for this membrane. Flavanols and hydroxycinnamic acids were retained by more than 99%. The combination of straw filtration and NF with the NFA-12A membrane allowed us to reduce the COD of raw OMWs up to 97.6%. The retentate fraction of this membrane exhibited a TAA of 18.9 ± 0.7 mM Trolox, supporting its propensity for the development of innovative formulations of interest in food and nutraceutical applications.