The preparation and performance control of the cellulose membrane are one of the hot topics in the environmentally friendly separation membrane field. In this study, microcrystalline cellulose (MCC) was prepared by microwave-assisted acidic hydrolysis of cellulose obtained from jute, followed by the use of a mixture of N-methylmorpholine-N-oxide and water as a solvent to obtain the homogeneous casting liquid, which was scraped and subsequently immersed in the coagulation bath to form a smooth and dense cellulose membrane. During membrane formation, the crystal structure of MCC changed from type I to type II, but the chemical structure remained unchanged. The mechanical strength and separation performance of the membrane were related to the content of MCC in the casting liquid. When the content of MCC was about 7%, the tensile strength of the membrane reached a maximum value of 13.49 MPa, and the corresponding elongation at break was 68.12%. The water flux (J) and rejection rate (R) for the bovine serum albumin were 19.51 L/(m2·h) and 95.37%, respectively, under an optimized pressure of 0.2 MPa. In addition, the coagulation bath had a significant effect on the membrane separation performance, and J and R were positively and negatively correlated with the polarity of the coagulation bath. Among them, it was note-worthy that J and R of membrane formed in ethanol were 33.95 L/(m2·h) and 91.43%, separately. Compared with water as a coagulation bath, J was increased by 74% at the situation and R was roughly equivalent, showing better separation performance. More importantly, the relationship between the structure and separation performances has also been studied preliminarily. This work provides certain guidance for the preparation of high-performance MCC membranes.