Novel inorganic–organic hybrid membranes Fe@MWCNT/PPO or Fe@MWCNT-OH/SPPO (with a new type of CNTs characterized by increased iron content 5.80 wt%) were synthesized for CO2 separation. The introduction of nanofillers into the polymer matrix has significantly improved the hybrid membrane’s gas transport (D, P, S, and αCO2/N2), magnetic, thermal, and mechanical parameters. It was found that magnetic casting has improved the alignment and dispersion of Fe@MWCNTs. At the same time, CNTs and polymer chemical modification enhanced interphase compatibility and the membrane’s CO2 separation efficiency. The thermo-oxidative stability and mechanical and magnetic parameters of composites were improved by increasing new CNTs loading. Cherazi’s model turned out to be suitable for describing the CO2 transport through analyzed hybrid membranes.