Heavy metal pollution represents an urgent worldwide problem due to the increasing number of its sources; it derives both from industrial, e.g., mining, metallurgical, incineration, etc., and agricultural sources, e.g., pesticide and fertilizer use. Features of membrane technology are the absence of phase change or chemical additives, modularity and easy scale-up, simplicity in concept and operation, energy efficiency, and small process footprint. Therefore, if membrane technology is coupled to adsorption technology, one of the most effective treatment strategies to remove heavy metals, namely, Adsorptive Membrane Technology, many typical disadvantages of traditional processes to remove heavy metals, such as low-quality treated water, excessive toxic sludge production, which requires further treatment, can be overcome. In this review, after a broad introduction on the relevance of heavy metal removal and the methods used, a thorough analysis of adsorptive membrane technology is given in terms of strategies to immobilize the adsorbents onto/into membranes and materials used. Regarding this latter aspect, the impressive number of papers present in the literature on the topic has been categorized into five types of adsorptive membranes, i.e., bio-based, bio-inspired, inorganic, functionalized, and MMMs.