The process of the dry-wet spinning of asymmetric hollow-fiber membranes has been studied. The set of the parameters of spinning process, which allows the preparation of the smooth, round, and symmetric cross section of a fiber and the given inner and outer diameter so that the hollow-fiber membrane would finally appear as a smooth hollow cylinder, has been determined. The procedure was carried out using the fabrication of hollow fibers from poly(2,6-dimethyl-1,4-phenylene oxide) as an example. The samples with the oxygen permeance Λ/δ (O2) = 400 L/(m2 h bar) and the separation factor corresponding to the properties of material, α(O2/N2) = 4.5, have been obtained. The effective thickness of the selective layer of this membrane is 100 nm. The maximum diameter ratio that has been attained upon dry-wet spinning is 1.4 for the studied polymer solution–internal coagulant system.