The Zhizhu Decoction (ZZD), as a classic traditional Chinese medicine prescription, has long served as an effective treatment for obesity. However, rapid analysis of its putative bioactive components and their mechanisms of action remains a challenging task due to its chemical complexity and a lack of target-based screening strategies. This study established a rapid screening system using ultrafiltration membrane-based bio-affinity ultrafiltration-mass spectrometry (AUF-MS), combining lipase and α-glucosidase for targeted screening. Ultrafiltration centrifuge tubes made of regenerated cellulose membrane material were used as the core separation unit: following incubation of the enzymes with ZZD, the ultrafiltration membrane preferentially retained compounds in the presence of the target enzymes, while unbound free small molecules were removed through multi-stage buffer centrifugation and washing. Subsequently, compounds showing preferential retention in the presence of the target enzymes were eluted and further characterized using ultra-performance liquid chromatography quadrupole time-of-flight tandem mass spectrometry (UPLC-Q-TOF-MS/MS). Candidate bioactive compounds were further evaluated in a free fatty acid (FFA)-induced lipid deposition cell model. We detected 39 compounds in the ZZD extract, and through an ultrafiltration membrane screening system, at least 12 compounds showing preferential retention in the presence of lipase were successfully putatively identified. Notably, naringin, hesperidin, and poncirin showed preferential retention in the lipase-based AUF-MS screening, and their potential cellular lipid-regulating effects were further evaluated in a free fatty acid (FFA)-induced lipid deposition cell model, where all three compounds were associated with reduced lipid accumulation and triglyceride content under the tested conditions. In particular, naringin and hesperidin showed notable effects at relatively low concentrations, highlighting their potential as promising bioactive compounds for further investigation. The study identified several putative enzyme-interacting candidates from ZZD using a membrane-based AUF-MS screening strategy, and selected compounds were further evaluated in an FFA-induced HepG2 cell model for their potential lipid-regulating effects. More importantly, it demonstrated the feasibility of applying the screening strategy for preliminary candidate identification.