Anion-doped perovskite membranes with a hollow fiber geometry have excellent oxygen separation performance. However, during the fabrication process of hollow fiber membranes, soaking the precursor in deionized water leads to elemental dissolution, especially anion dissolution. To prevent metal and anion element dissolution, an improved one-step thermal processing approach was proposed in which saturated solutions were used as internal and external coagulation baths, effectively controlling the stoichiometric ratio. Compared with using deionized water as internal and external coagulation baths, using a fluorine-containing saturated solution increased the oxygen flux of the membrane by 21% at 900 °C. The oxygen permeability of the fluorine-doped oxide membrane reached 6 mL cm−2 min−1 at 900 °C, with an oxygen flux exceeding 1 mL cm−2 min−1 at 700 °C, meeting commercial oxygen separation membrane standards. Anion doping and stability enhancement strategies could further advance the development and practical use of oxygen separation membranes.