In recent years, the need to reduce energy consumption worldwide to move towards sustainable development has led many of the conventional technologies used in the industry to evolve or to be replaced by new alternatives. Oxygen is a compound with diverse industrial and medical applications. For this reason, obtaining it from air is one of the most interesting separations, traditionally performed by cryogenic distillation and pressure swing adsorption, two techniques which are very energetically expensive. In this sense, the implementation of membranes in a hollow fiber configuration is presented as a much more efficient alternative to carry out this separation. The aim of this work is to develop cost-effective multilayer hollow fiber composite membranes made of Matrimid and polydimethylsiloxane (PDMS) for the separation of oxygen and nitrogen from air. PDMS is used as a cover layer but can also enhance the performance of the membrane. In order to compare these two materials, three different configurations are studied. First, integral asymmetric Matrimid hollow fiber membranes were produced using the spinning method. Secondly, by using dip-coating method, a PDMS dense selective layer was deposited on a self-made polyvinylidene fluoride (PVDF) hollow fiber support. Finally, the performance of a dual-layer hollow fiber membrane of Matrimid and PDMS was studied. Membrane morphology was characterized by SEM and separation performance of the membranes was evaluated by mixed-gas permeation experiments. The novelty presented in this work is the manufacture of hollow fiber membranes and the way Matrimid is treated. This makes it possible to develop much thinner dense layers than in the case of flat-sheet membranes, which leads to higher permeance values. This is a key factor when implementing this technology on an industrial scale. Membranes prepared in this work were compared to the current state of the art, reporting quite good performance for the dual-layer membrane, reaching O2 permeance of 30.8 GPU and O2/N2 selectivity of 4.7, with a thickness of about 5–10 μm (counting both selective layers). In addition, the effect of operating temperature on the membrane permeances has been studied experimentally; we analyze its influence on the selectivity of the separation process.