Coating a layer onto a support membrane can serve as a means of surface functionalization of membranes. Frequently, this procedure is a two-step process. In this paper, we describe a concept of membrane preparation in which a coating layer forms in situ onto a support membrane in one step by a co-extrusion process. Our aim is to apply a thin ion exchange layer (sulfonated polyethersulfone, SPES) onto a polysulfone support. The mechanical stability and adhesion of the ion-exchange material to the hydrophobic support membrane (polysulfone) has been studied by a systematic approach of initial proof-of-principle experiments, followed by single layer and double-layer flat sheet casting. Critical parameters quantified by the latter experiments are translated into the co-extrusion spinning process. The composite hollow fiber membrane has low flux as a supported liquid membrane for the copper removal due to the low ion exchange capacity of the SPES. The coating layer of the composite membrane is porous as indicated by gas pair selectivity close to unity. However, our new composite membrane has good nanofiltration properties: it passes mono and bivalent inorganic salts but rejects larger charged organic molecules. The experimental work demonstrates that co-extrusion can be a viable process to continuously prepare surface tailored hollow fiber membranes in a one-step process, even if the support and coating material differ significantly in hydrophilicity.