The global society is in a transition, where dealing with climate change and water scarcity are important challenges. More efficient separations of chemical species are essential to reduce energy consumption and to provide more reliable access to clean water. Here, membranes with advanced functionalities that go beyond standard separation properties can play a key role. This includes relevant functionalities, such as stimuli-responsiveness, fouling control, stability, specific selectivity, sustainability, and antimicrobial activity. Polyelectrolytes and their complexes are an especially promising system to provide advanced membrane functionalities. Here, we have reviewed recent work where advanced membrane properties stem directly from the material properties provided by polyelectrolytes. This work highlights the versatility of polyelectrolyte-based membrane modifications, where polyelectrolytes are not only applied as single layers, including brushes, but also as more complex polyelectrolyte multilayers on both porous membrane supports and dense membranes. Moreover, free-standing membranes can also be produced completely from aqueous polyelectrolyte solutions allowing much more sustainable approaches to membrane fabrication. The Review demonstrates the promise that polyelectrolytes and their complexes hold for next-generation membranes with advanced properties, while it also provides a clear outlook on the future of this promising field.