The modification of membranes by polyelectrolytes via the Layer-by-Layer technique is an attractive method to obtain nanofiltration membranes. We prepare such membranes by alternatively coating a polycation (poly(diallyldimethylammonium chloride) (PDADAMAC)) and a polyanion (poly(styrene sulfonate) (PSS)) on a porous support. Depending on the coating conditions, hollow fiber membranes with rejections of up to 71% NaCl and 96% Na2SO4 are obtained. Moreover, we demonstrate that the final membrane properties can be easily controlled by variation of the ionic strength of the coating solution, the number of layers and the choice of terminating polyelectrolyte layer. Coating at higher salt concentrations results in thicker multilayers that are more open to permeation. Furthermore, we show that by taking the effect of the terminating layer (the so called “odd–even” effect) into account, information on the structure of the multilayers on the membrane is obtained. Depending on the coating conditions and number of layers, two different regimes can be distinguished. Thinner layers show a pore-dominated regime, where the multilayer is coated on the inside of the pores. Thicker layers show a layer-dominated regime, in which case the multilayer is predominately coated on top of the pores. This conclusion is supported by our ion rejection measurements: for thin layers the rejections are primarily based on size exclusion, whereas for thick layers the ion rejections are based on Donnan exclusion.