As shown by SEM characterization, FeOOH-SiO2 composite microspheres with sea urchin-shaped structure and shuttle-shaped FeOOH particles were prepared, respectively. A novel composite membrane was prepared by using polyethersulfone (PES) ultrafiltration membrane as base membrane, co-depositing polydopamine (PDA) and polyethyleneimine (PEI) as active separation layer, and using their adhesion to immobilize manufactured particles on the membrane surface. The separation and treatment performance of the composite membranes for dyeing wastewater were studied, and the anti-pollution and self-cleaning abilities of the composite membranes were compared for particles with different morphologies. Results indicate that the composite membrane has a high water flux, while the retention rates of methyl blue (MB) and Na2SO4 reach about 95% and 3%, respectively, thus providing good separation performance for dyes/salt. In addition, the introduction of particles as photocatalytic layer endows the composite membranes stronger anti-pollution ability and photo-Fenton self-cleaning performance. More importantly, compared with the shuttle-shaped FeOOH particle composite membrane, the sea urchin-shaped FeOOH-SiO2 microsphere composite membrane maintains the better separation stability during cleaning process due to its unique three-dimensional structure of FeOOH-SiO2 microspheres themselves, and the microscopic contact area with the active separation layer of the membrane. After 4 cycles of the photo-Fenton self-cleaning process, the flux recovery rate has been stable at about 98%.