Dissolved gas analysis (DGA) is a useful approach to monitor the electrical faults of transformers. For extraction of dissolved gases from transformer oil in the DGA process, membrane-based separation represents an appealing technology option since the use of an oil-resistant, stable and highly gas permeable dense membrane can greatly enhance the efficiency by shortening the extraction time. However, most membranes reported in the literature have a membrane thickness in the micrometer range, making these membrane devices not sufficiently effective in practical separation of dissolved gasses from transformer oil. To reduce the thickness of membranes, Teflon AF2400 composite membranes synthesized using three different types of alumina (Al2O3) supports were investigated, including macroporous alpha-Al2O3 disk support, macroporous alpha-Al2O3 hollow fiber support, and mesoporous gamma-Al2O3/alpha-Al2O3 hollow fiber support. The result shows that the gamma-Al2O3/alpha-Al2O3 supports with a mesoporous top-coating gamma-Al2O3 layer prepared by the sol-gel method could provide a high-quality surface for synthesizing an ultrathin and defect-free Teflon AF2400 layer. For the ultrathin Teflon AF2400/gamma-Al2O3 composite hollow fiber membranes prepared by coating with a 0.5 wt% Teflon AF2400 solution, the thickness of the Teflon AF2400 layer is about 270 nm, and the permeances of H-2, CH4, CO2 and C2H6 at room temperature can reach to 14,069, 2847, 11,901 and 2030 GPU, respectively, which are about 8 times higher than that of the alpha-Al2O3 disk or hollow fiber supported membranes. This result demonstrates the promise of the ultrathin Teflon AF2400/gamma-Al2O3 composite hollow fiber membranes for extraction of dissolved gases from the transformer oil for DGA.