Efficient incorporation of supramolecular hosts in polymeric membranes can impart the overall matrix with new properties for a range of cutting‐edge applications. Here, we introduce a Supramolecular Interfacial Assembly (SIA) method for the fabrication of polymeric membranes featuring embedded macrocycles. Through harnessing the quasi‐liquid nature of the concentrated polymer solution, SIA orchestrates the homogenous spreading of macrocycles in an aqueous layer on its surface, leading to the creation of an interface between “water/water” phases, subsequently forming a cross‐linked membrane driven by supramolecular electrostatic interactions. Remarkably, compared to the traditional interfacial polymerization, SIA adheres to a “green” paradigm without the need for organic solvents. The resultant composite membrane exhibits superior performance in organic solvent nanofiltration (OSN), owing to the precise molecular sieving property provided by the macrocycles with well‐defined permanent cavities. This fabrication method holds great promise for the innovative design of composite membranes, which can greatly impact the production of smart membrane materials for advanced technology applications in the future.