The active application of ultrafiltration in various industries requires the development of novel membranes with tailored properties and good fouling resistance. This work is devoted to the improvement of ultrafiltration properties of polyacrylonitrile (PAN) membranes by various TiO₂ modification approaches: (1) ex situ method - the introduction of pre-formed micro- or nanoparticles; (2) in situ method - the formation of TiO₂ particles in the casting solution; and (3) surface modification method - dynamic deposition of TiO₂ on the membrane surface. The effect of the various TiO₂ immobilization techniques on the structure of PAN membranes was studied by scanning electron and atomic force microscopies, and the contact angle measurements. The introduction of TiO₂ particles improved membrane performance and antifouling stability under UV irradiation in ultrafiltration of industrially important feeds - bovine serum albumin solution (BSA) and coolant lubricant emulsion. The affinity to water of TiO₂-modified PAN membrane was confirmed by atomistic molecular dynamics simulations, swelling experiments, and calorimetric study of wetting. PAN membrane with 0.5 wt% TiO₂ nanoparticles had the optimal transport characteristics and improved surface self-cleaning ability after UV irradiation: pure water, coolant lubricant, and BSA fluxes (849, 38, and 68 L/(m²h), respectively), and flux recovery ratio after UV-illumination (95%).