Covalent organic framework (COF) materials have been considered as disruptive membrane materials for gas separation. The dominant one-step method for COF nanosheet synthesis often suffers from coupling among polymerization, assembly and crystallization processes. Herein, we propose a two-step method comprising a framework assembly step and functional group switching step to synthesize COF nanosheets and the corresponding COF membranes. In the first step, the pristine COF-316 nanosheets bearing cyano groups are prepared via interfacial polymerization. In the second step, the cyano groups in COF-316 nanosheets were switched into amidoxime groups or carboxyl groups. Through the vacuum-assisted self-assembly method, the COF nanosheets were fabricated into membranes with a thickness below 100 nm. Featuring numerous mass transport channels and homogeneous distribution of functional groups, the amidoxime-modified COF-316 membrane demonstrated excellent separation performance, with a permeance above 500 GPU and a CO2/N2 selectivity above 50. The two-step method may inspire the rational design and fabrication of organic framework membranes.