This work reported on the fabrication and investigation of a mixed matrix hollow fiber membrane (MMHFM) by incorporating commercially available alumina particles into a polyetherimide (PEI) polymer matrix. These MMHFMs were prepared by the dry-wet spinning technique. Accordingly, optimizing the spinning parameters, including the air gap distance and flow rate ratio, is key to determining the gas separation performance. However, there are few studies regarding the effect of the filler dimensions. Consequently, three sizes of alumina particles, 20 nm, 30 nm, and 1000 nm, were respectively added into the PEI phase to examine the influence of filler size on gas permeation property. Moreover, the permeation properties of lower hydrocarbons (i.e., ethane and propane) were also measured to evaluate potential for emerging applications. The results indicated the as-synthesized membrane exhibited a remarkable hydrogen permeance of 1065.24 GPU, and relatively high separation factors of 4.53, 5.77, and 5.39 for H2/CO2, H2/C2H6, and H2/C3H8, respectively. This resulted from good compatibility between the larger fillers and the PEI polymer, as well as a reduction in the finger-like voids. Overall, the MMHFM in this work was deemed to be a promising candidate to separate hydrogen from gas streams, based on the comparison of the separation performance against other reported studies.