The sol-gel process is a common approach for the fabrication of mesoporous γ-alumina membranes. The viscosity of the sol can significantly affect the membrane thickness as well as its performance. Therefore, it is essential to properly adjust the viscosity of the sol. For this purpose, different compositions of acetic acid and PEG were used as the peptizing agent and the binder, respectively. The findings suggested that if the H+Al3+ ratio is adjusted in the values of 0.4 and 0.6, and PEG is proportionally added, the sols with the viscosity values of 2–3 mPa s will be achieved. The homogenous and defect-free top-layer with thickness of <2 μm were prepared using the mentioned sols by a one-step coating which is also economically important. The performance of the membranes was evaluated by the pure water permeability, PEG rejection tests, and the separation and purification of whey. The membranes exhibited high water permeance (>30 L m−2 h−1.bar−1), and 90% rejection for PEG 4700 Da which was consistent with an ultrafiltration membrane layer. Furthermore, the prepared membranes were examined in a combined ultrafiltration-diafiltration process for purifying the whey proteins from the pre-treated whey through microfiltration. The results showed that the retentate was significantly devoid of lactose, and the protein content was as much as whey protein isolate.