Precoated dynamic membranes (PCDM), commonly formed by retaining external particles on coarse supporting meshes, can accelerate dynamic membrane (DM) formation, change the DM structure, and enhance its filtration performance. An in-situ rapid PCDM formation method via short-time and high-flux initial filtration (at 380 L/m2·h flux for 0.25 min) is proposed using anaerobic sludge as a precoating material. A precoated anaerobic dynamic membrane bioreactor (PC-AnDMBR) was operated in parallel with a self-forming AnDMBR (SF-AnDMBR) to treat domestic wastewater. Extremely low rates of transmembrane pressure (TMP) increase of 0.05 and 0.07 kPa/d were obtained during the long-term operation of the SF-AnDMBR and PC-AnDMBR, respectively. Furthermore, the PC-AnDMBR and SF-AnDMBR showed stable effluent turbidity (27.1 ± 9.44 NTU and 31.35 ± 15.96 NTU, respectively) and satisfactory COD removal (83% and 78%, respectively), which were attributed to the small pore size (<2 μm) of the DM layers. The PCDM and self-forming dynamic membrane (SFDM) with a thickness of 0.7 mm were further characterized as cake and gel layers, whereas the gel layer thickness within the PCDM was higher than that of the SFDM (0.6 mm vs. 0.2 mm). In addition, the porosities of the gel layers (2.87% and 2.95%) were lower than those of the cake layers (3.58% and 3.48%) for the PCDM and SFDM, respectively. Therefore, the compact gel layer, with more accumulated organics, contributed to over 78% of the total filtration resistance. These findings provide new insights into the mechanisms of PCDM formation and the application of AnDMBRs in wastewater treatment.