Ultrafiltration membranes are important porous materials to produce freshwater in an increasingly water-scarce world. A recent approach to generate porous membranes is solvent transfer induced phase separation (STrIPS). During STrIPS, the interplay of liquid-liquid phase separation and nanoparticle self-assembly results in hollow fibers with small surface pores, ideal structures for applications as filtration membranes. However, the underlying mechanisms of the membrane formation are still poorly understood, limiting the control over structure and properties. To address this knowledge gap, we study the nonequilibrium dynamics of hollow fiber structure evolution. Confocal microscopy reveals the distribution of nanoparticles and monomers during STrIPS. Diffusion simulations are combined with measurements of the interfacial elasticity to investigate the effect of the solvent concentration on nanoparticle stabilization. Furthermore, we demonstrate the separation performance of the membrane during ultrafiltration. To this end, polyelectrolyte multilayers are deposited on the membrane, leading to tunable pores that enable the removal of dextran molecules of different molecular weights (>360 kDa, >60 kDa, >18 kDa) from a feed water stream. The resulting understanding of STrIPS and the simplicity of the synthesis process open avenues to design novel membranes for advanced separation applications