In this work, glutaraldehyde-induced poly(ethyleneimine) (PEI) multilayer deposition was attempted with the aim to improve the electrodialytic transport properties of a heterogeneous anion exchange membrane (AEM), including selective separation between specific anions and amelioration of concentration polarization. Firstly, the change of surface hydrophilicity and morphology after modification were investigated by contact angle measurement and scanning probe microscope observation. Then, the electrodialytic transport properties were comprehensively evaluated by the measurements of salt permeability coefficient, permselectivity of counter-ions, membrane electrical resistance and limiting current density. Especially, in order to simulate the possible applications in the seawater utilization and groundwater purification, two kinds of systems such as Cl−/SO42− system and F−/Cl− system were chosen to estimate and compare the selective separation properties of the membranes. Furthermore, the alteration of surface heterogeneity after modification was understood by chronopotentiometric and current–voltage curves. The experimental results showed that PEI multilayers formed by covalent layer-by-layer assembly can effectively adjust the surface hydrophilicity and improve the surface homogeneity of heterogeneous AEM at a slight sacrifice of membrane conductance. Thereupon, the selective separation between the anions with different hydration energy can be achieved. The improvement of surface homogeneity can contribute to the amelioration of the concentration polarization during a electrodialysis process.