The recent progress in the development of membrane materials expands the applications and requirements for new, more stable, and highly effective separation materials. One of the most interesting research directions is related to membranes containing metal–organic frameworks (MOFs), and covalent organic frameworks (COFs) either in the membrane matrix or inside the membrane surface. The addition of these (macro)molecules makes it possible to tune first material properties and resistance and then transport and separation features, finally improving the membrane performance significantly. This article aims to: i) review the structure and characterization of different MOFs and COFs; ii) present the experimental protocols of MOF- or/and -COFs containing membranes formation, and iii) discuss their applications in terms of liquid separation. The important and representative studies in each field will be comprehensively revised and debated for perspectives, to await use as a reference for scientists working in associated areas. In the end, a summary and future perspectives on the utilization of MOF-/COF-containing membranes, including also niche applications, will be presented.