A very distinctive modification route was schemed to fabricate a membrane reactor that could heterogeneously catalyze Fenton reactions to decolorize dye wastewater in the process of filtration. Through this route, porogen-free polyacrylonitrile (PAN) hollow fiber membrane was decorated with in situ generated well-distributed Fe/Mn composite oxide, and the so-called membrane reactor was finally acquired. Its performance of decolorizing dye wastewater was evaluated by feeding methylene blue (MB) aqueous solution into its lumen side and analyzing the permeate gained from its shell side. The results showed that about 97.4% of MB could be removed from its aqueous solution as the solution passed through the shell side of hollow fiber membrane, and this removal efficiency would keep unchanged when operation period was lengthened. The membrane reactor presented excellent capability to decolorize MB aqueous solution and could be used repeatedly without any loss in decolorization efficiency. Finally, the mechanism of causing MB decolorization was proposed by comparing decolorization performance of modified and unmodified membranes, measuring total organic carbon, and analyzing UV-Vis spectra.