The separation of oily wastewater, especially emulsified oil/water mixtures, is a worldwide challenge because of the large amount of oily wastewater produced in many industrial processes and daily life. For the treatment of oily wastewater, membrane technology is considered the most efficient method because of its high separation efficiency and relatively simple operational process. In this short review, the recent development of advanced filtration membranes for emulsified oil/water mixture separation is presented. We provide an overview on both traditional filtration membranes, including polymer-dominated and ceramic-based filtration membranes, and recently developed nanomaterial-based functional filtration membranes, especially one-dimensional nanomaterials, for effectively treating emulsified oil/water mixtures. The liquid flux and antifouling property, which are the most important factors for membrane performance evaluation, are described for different types of membranes. Conclusions and perspectives concerning the future development of filtration membranes are also provided.