The integration of in-situ chemical oxidation (ISCO) and membrane separation technology (MST) was appealing for one-step efficient removal of complex dye-contaminated oily wastewater. However, the construction of catalytic membranes remains an arduous challenge due to the critical restriction of unsatisfactory degradation and poor stability. In current work, manganese dioxide (MnO2)/carboxyl functionalized carbon nanotube (C-CNT) composites were prepared through a facile hydrothermal process. It was found that, the degradation rate of rhodamine B (Rh B, 100 ppm) in MnO2/C-CNT (0.2 g/L)/peroxymonosulfate (PMS, 0.5 g/L) system reached 2.071 min−1, which was 4.6 and 10.9 times higher than that of MnO2 and C-CNT (0.4541 and 0.1942 min−1), respectively. The vacuum-assisted filtration was utilized to construct MnO2/C-CNT@ polyvinylidene fluoride (PVDF) membrane, which exhibited excellent filtration catalytic activity and stability for dyes and natural small-molecular organics. Scavenger experiments and electron paramagnetic resonance (EPR) analysis verified the synergistic effect of radicals and nonradicals while 1O2 was the dominator for Rh B degradation. The MnO2/C-CNT@PVDF membrane also possessed high permeation flux (170.2 L/(m2·h)), separation efficiency (99.5%) and anti-oil properties for filtrating n-hexane/water emulsion. Moreover, the modified membrane could achieve the dual purification for one-step catalytic degradation of dyes and oil/water separation. Meanwhile, the flux recovery rate of the prepared membrane reached 91% after filtering the PMS solution for 10 min, indicating its brilliant self-cleaning performance. This study provided a novel insight into development of dual-function catalytic self-cleaning membranes for water treatment.