Using a dry/wet spinning process, asymmetric cellulose hollow fiber membranes (CHFM) were prepared from a dope composed of cellulose/N-methylmorpholine-N-oxide/water. The formation mechanism for the finger-like macrovoids at the inner portion of as-spun fibers was explained. Naturally drying and three solvent exchange drying methods were tried to investigate their influence on morphology and properties of CHFM. It was found that the ethanol-hexane exchange drying was an appropriate method to minimize morphology change of the as-spun CHFM, whereas the naturally drying caused the greatest shrinkage of the fibers that made the porous membrane become dense. As a result, CHFM from ethanol-hexane exchange drying performed the highest gas permeation rate but gas permeation of the naturally dried membrane could not be detectable. The resultant CHFM from the ethanol-hexane exchange drying also showed acceptable mechanical properties, thus it was proposed to be an appropriate method for gas separation purpose. The experimental results supported the proposed drying mechanism of CHFM. The free water would evaporate or be replaced by a solvent that subsequently would evaporate but the bonded water would remain in the membrane. What dominated the changes of membrane morphology during drying should be the molecular affinities of cellulose-water, water-solvent and solvent-solvent.