Covalent organic frameworks (COFs) are a new kind of crystalline porous materials composed of organic molecules connected by covalent bonds, processes the characteristics of low density, large specific surface area, adjustable pore size and structure, and easy to functionalize, which have been widely used in the field of membrane separation technology. Recently, there are more and more researches focusing on the preparation methods, separation application, and mechanism of COF membranes, which need to be further summarized and compared. In this review, we primarily summarized several conventional preparation methods, such as two-phase interfacial polymerization, in-situ growth on substrate, unidirectional diffusion method, layer-by-layer assembly method, mixed matrix membranes, and so on. The advantages and disadvantages of each method are briefly summarized. The application potential of COF membrane in liquid separation are introduced from four aspects: dyeing wastewater treatment, heavy metal removal, seawater desalination and oil-water separation. Then, the mechanisms including pore structure, hydrophilic/hydrophobic, electrostatic repulsion/attraction and Donnan effect are introduced. For the efficient removal of different kind of pollutions, researchers can select different ligands to construct membranes with specific pore size, hydrophily, salt or organic rejection ability and functional group. The ideas for the design and preparation of COF membranes are introduced. Finally, the future direction and challenges of the next generation of COF membranes in the field of separation are prospected.