Membrane-based liquid desiccant dehumidifiers avoid the desiccant carryover, which is better than the packed bed. In the process of liquid dehumidification, the dehumidification performance is reduced due to heat release, and internally-cooled liquid dehumidification is a method to improve the dehumidification performance. This study develops an internally-cooled hollow fiber membrane-based liquid desiccant dehumidifier (IHFMLDD). IHFMLDD is composed of two tubes. The inner tube is not permeable to moisture but only permeable to heat, while the outer tube is a hydrophobic semi-permeable membrane, which can transmit moisture and heat simultaneously. The advantage of this technology is that the liquid desiccant does not directly contact the air in the process, preventing the problem of droplet carryover in the air stream. In addition, cold water reduces the temperature of the solution and improves the dehumidification performance. This paper studies the heat and mass transfer characteristics of IHFMLDD, which uses a staggered triangle arrangement and takes LiCl solution as a cycling fluid. Heat and mass transfer capacities are adopted as performance indices. The effects of the inlet parameters, including air and solution flow rates, air inlet temperature and humidity ratio, solution inlet temperature and concentration, water flow rates, on the indices are investigated. Besides, a coupled heat and mass transfer model is developed and solved with the finite difference method. The results show that the air and solution flow rate greatly influence the heat and mass transfer coefficient, revealing the coupling mechanism of heat and mass transfer and the mutual influence law in IHFMLDD. Correlation expressions of heat and mass transfer coefficients are proposed, in good agreement with the experimental data. The dehumidification capacity of the internally-cooled membrane liquid dehumidifier is 75–140% higher than that of the traditional hollow fiber membrane liquid dehumidifier.