The semi‐crystalline nature of poly(ether ether ketone) (PEEK) has been a great challenge to prepare PEEK membranes with targeted morphology and crystallization via immersion precipitation. This paper reported a novel observation of cold crystallization (CC) and the key factors affecting the formation of CC in the PEEK membrane via immersion precipitation phase separation, using mixture solvents of concentrated sulfuric acid (SA) and methane sulfonic acid (MSA). The CC in PEEK was identified by an exothermal peak slightly above the PEEK's glass transition temperature (Tg) at 146–150°C in differential scanning calorimetry (DSC). The CC formation was contributed to folded rigid segments resulted from the solid–liquid phase separation. Factors affecting CC investigated in the membrane preparation were the exposure time before immersion and the solvent ratio. It was found that increased exposure time from 0 min to 15 min in ambient led to cellular pore structure with decreased total crystallinity (28.9%–25.5%), but increased proportion of CC (27.7%–43.6%) for PEEK3:1 membrane. Increase of SA in the mixture solvent resulted in decreased CC and total degree of crystallization. Tensile strength measurements demonstrated that the CC contributed positively the strain of PEEK membranes. The findings suggested a new factor of CC for better understanding, control and design of PEEK membranes.