As water pollution from dyes, pharmaceuticals, heavy metals, and other emerging contaminants continues to rise at an alarming rate, ensuring access to clean and safe water has become a pressing global challenge. Conventional water treatment methods, though widely used, often fall short in effectively addressing these complex pollutants. In response, researchers have turned to Advanced Functional Membranes (AFMs) as promising alternatives, owing to their customizable structures and enhanced performance. Among the most explored AFMs are those based on metal–organic frameworks (MOFs), carbon nanotubes (CNTs), and electro–catalytic systems, each offering unique advantages such as high permeability, selective pollutant removal, and compatibility with advanced oxidation processes (AOPs). Notably, hybrid systems combining AFMs with electrochemical or photocatalytic technologies have demonstrated remarkable efficiency in laboratory settings. However, translating these successes to real-world applications remains a challenge due to issues related to cost, scalability, and long-term stability. This review explores the recent progress in AFM development, particularly MOF-based, CNT-based, and electro-Fenton (EF)-based membranes, highlighting their material aspects, pollutant filtration mechanisms, benefits, and limitations. It also offers insights into how these next-generation materials can contribute to more sustainable, practical, and economically viable water purification solutions in the near future.