In order to improve both pure water flux and retention rate of the cross-linked ultrafiltration membranes based on phenolphthalein-based poly(ether ether ketone) (PEEKWC) and polyethyleneimine (PEI), poly(ethylene glycol) (PEG) and polyvinylpyrrolidone (PVP) were used as polymeric additives in non-solvent-induced phase separation process. The characterizations, separation effectiveness, and anti-fouling performance of membranes were investigated. Compared with n-butanol additive, the PEG and PVP could accelerate the phase separation rate and form thinner and denser skin layer, and then that led to an increase in the fluxes of pure water and better dye retention performance. In addition, the impact of variable additive dosage on the pure water flux and retention for dye solutions was investigated, and the pure water flux of membranes could reach 3270.8 L·m−2·h−1 and 2494.5 L·m−2·h−1 at a PEG or PVP concentration of 0.5 wt%, respectively. These membranes also exhibited excellent retention performance for Coomassie brilliant blue and Congo red greater than 98%. The simultaneous improvement of pure water flux and retention performance also could be related to the more efficient water transmission channel forming which was investigated by atomic force microscope phase images. In anti-fouling performance tests, the membranes demonstrated effective anti-fouling properties with a high flux recovery ratio after external cleaning with water only.