The immobilization of photo-catalyst can effectively avoid the difficulty in recovery of the nano-catalysts after photo-degradation. In this work, PVDF/GO/ZnO composite membranes with photocatalytic performance for organic dyes were prepared by using zinc oxide (ZnO) as photo-catalyst, graphene (GO) as dispersant and poly (vinylidene fluoride) (PVDF) membrane as carrier. The effect ZnO and GO on the structure, surface composition and photocatalytic activity of PVDF/GO/ZnO composite membranes were investigated. Owing to the strong hydrophilicity of the carboxyl group, the addition of GO enhanced the dispersibility of ZnO in PVDF membranes, which was proved by SEM results. Under Xenon irradiation (300 W), the photocatalytic degradation rate of PVDF/GO/ZnO composite membranes for methylene blue (MB) could reach 86.84%. Furthermore, the photocatalytic efficiency of the composites membrane for MB was evaluated with different initial concentrations of MB, pH value of the solution, and electron trapping agent-H2O2 content. And the radical trapping experiments with different active radical scavengers showed that the oxidizing species (O2-) plays an important role in the decolorization process of MB. In summary, this work provides an efficient method to improve the photodegradability of PVDF/GO/ZnO composite membranes and has great potential in the field of water purification.