A simple strategy of thermally induced phase separation followed by non-solvent induced phase separation (TIPS-NIPS) is reported to fabricate poly (vinylidene fluoride) (PVDF)-based blend membrane. The dissolved poly (styrene-co-maleic anhydride) (SMA) in diluent prevents the crystallization of PVDF during the cooling process and deposites on the established PVDF matrix in the later extraction. Compared with traditional coating technique, this one-step TIPS-NIPS method can not only fabricate a supporting layer with an interconnected network structure even via solid-liquid phase separation of TIPS, but also form a uniform SMA skin layer approximately as thin as 200 nm via surface deposition of NIPS. Besides the better hydrophilicity, what’s interesting is that the BSA rejection ratio increases from 48% to 94% with the increase of SMA, which indicates that the separation performance has improved. This strategy can be conveniently extended to the creation of firmly thin layer, surface functionalization and structure controllability of the membrane.