Improving the thermal and chemical stabilities of classical polymer membranes will be beneficial to extend their applications in the high temperature or aggressive environment. In this work, the asymmetric ultrafiltration membranes prepared from the polyacrylonitrile (PAN) were used to fabricate the cross-linking asymmetric (CLA) PAN membranes via thermal cross-linking in air to improve their thermal and chemical stabilities. The effects of thermal cross-linking parameters such as temperature and holding time on the structure, gas separation performance, thermal and chemical stabilities of PAN membranes were investigated by Fourier transform infrared spectroscopy (FTIR), X-ray photoelectron spectroscopy (XPS), positron annihilation lifetime spectroscopy (PALS), scanning electron microscopy (SEM), thermogravimetic analysis (TGA) and gas permeation test. The thermal cross-linking significantly influences the chemical structure, microstructure and pore structure of PAN membrane. During the thermal cross-linking, the shrinkage of membrane and coalescence or collapse of pore and microstructure make large pores diminish, small pores disappear and pore volumes reduce. The gas permeances of CLA-PAN membranes increase as the increasing of cross-linking temperature and holding time due to the volatilization of small molecules. The CLA-PAN membranes demonstrate excellent thermal and chemical stabilities and present good prospects for application in ultrafiltration for water treatment and for use as a substrate for nanofiltration or gas separation with an aggressive and demanding environment.