α-Lactalbumin is an essential protein with multiple roles in physiological and the nutritional functionalities, such as diabetic prevention, blood pressure stabilization, and cancer cell inhibition. In the present work, polyethersulfone (PES)-based membranes were developed by incorporating Pluronic F127 and carbon nanotubes with single- and multi-walled dimensions (Sw-Cnts and Mw-Cnts) as additives. The resulting membranes were evaluated for use in the filtration of α-lactalbumin protein solution. Four series of membranes, including PES pristine membrane, were fabricated via the phase inversion process. The characteristics of the membrane samples were analyzed in terms of morphology, membrane surface hydrophilicity and roughness, and surface chemistry. The characterization results show that the incorporation of additive increased the surface wettability by reducing the surface water contact angle from 80.4° to 64.1° by adding F127 and Mw-Cnt additives. The highest pure water permeability of 135 L/(m2·h·bar) was also exhibited by the PES/F127/Mw-Cnt membrane. The performance of the modified membranes was clearly better than the pristine PSF for α-lactalbumin solution filtration. The permeability of α-lactalbumin solution increased from 9.0 L/(m2·h·bar) for the pristine PES membrane to 10.5, 11.0 and 11.5 L/(m2·h·bar) for membranes loaded with Pluronic F127, Sw-Cnts, and Mw-Cnts, respectively. Those increments corresponded to 17, 22, and 28%. Such increments could be achieved without altering the α-lactalbumin rejections of 80%. Remarkably, the rejection for the membrane loaded with Sw-Cnts even increased to 89%.