Enzymatic CO reduction can provide value-added chemicals from greenhouse gases at ambient temperature and pressure. However, poor solubility of CO results in a low conversion rate. In this work, polyethylenimine (PEI) was attached onto the surface of poly(acrylic acid)-grafted (PAA-grafted) polyethylene membranes, and then, the membranes were used in an integrated process of CO capture and in situ hydrogenation. Modification conditions were optimized with a surface amino group density of PEI-modified membranes as the characteristic parameter, and then, SEM, FTIR, and XPS analyses were conducted. The effect of PEI-modified membranes on enzyme-catalyzed CO conversion to formic acid, regeneration conditions, and reusability were studied. The results show that when the grafting ratio of PAA increased, surface amino group density of PEI-modified membranes increased up to 6.00 × 10 mol/cm and then kept constant. The optimum modification time, temperature, and PEI concentration were 40 min, 40 °C, and 0.3 wt %. With the same concentration, PEI-1800 could bring more amino groups than PEI-600. SEM, FTIR, and XPS results further confirmed PEI attachment. Introduction of membrane-supported PEI with 5.86 × 10 mol of amino groups facilitated greatly enzymatic CO hydrogenation, and the initial reaction rate increased from 0.280 to 6.90 μM/min. After being regenerated in ammonia, PEI-modified membranes could be reused, and the relative reaction rate was, respectively, 88.0% and 65.7% after 5 and 10 cycles.