AbstractGiven the toxicity of wastewater pollutants to both humans and the environment, it is critical to develop a new synthetic membrane with superior permeability and rejection. Herein, a novel asymmetric polyethersulfone (PES) composite filtration membrane was successfully prepared using a simple alternating vacuum‐deposition process with positively charged chitosan and negatively charged cellulose nanofibrils as polycations and polyanions, respectively. As expected, the produced PES composite filtration membranes had a compressed and negatively charged surface, which prevented the anionic dye methyl blue (MB) molecules from infiltrating into the membrane matrix. Consequently, the resulting PES composite filtration membranes exhibited an extremely high MB rejection (99.7%) and a satisfactory flux (37.47 L h−1 m−2 MPa−1). In addition, the composite membrane demonstrated extremely selective removal of anionic dyes in the presence of neutral dyes due to the Donnan effect. Furthermore, the developed PES composite filtration membranes displayed exceptional long‐term stability (99.8% rejection and 36.5 L h−1 m−2 MPa−1 flux after 50 h of filtration) and recycling properties (90.1% flux recovery rate after 3 cycles of running). In conclusion, the PES composite filtration membranes prepared in this study presented great potential in wastewater filtering.