Kaolin/calcium alginate (Kaolin/CaAlg) composite hydrogel membranes with different thicknesses were prepared using Ca2+ cross-linking. The Kaolin/CaAlg composite hydrogel membrane was characterized by laser scanning confocal microscopy, true color confocal microscopy, three-dimensional ultradepth microscopy, scanning electron microscopy, X-ray photoelectron spectroscopy, X-ray diffraction, Fourier transform infrared spectroscopy, and thermogravimetric analysis. The mechanical behaviors of Kaolin/CaAlg composite membranes with different NaAlg concentrations, different Kaolin contents, and different thicknesses were investigated. The adsorption kinetics and isotherms for Coomassie brilliant blue G250, crystal violet, and neutral red dyes on the Kaolin/CaAlg composite membrane were studied. The results showed that the surface of the thin Kaolin/CaAlg membrane contained a greater proportion of Kaolin and had a greater roughness than the thick membrane. The adsorption capacity of the composite membrane was enhanced by adding Kaolin powder. The Kaolin/CaAlg membrane exhibited a fast adsorption rate, high adsorption capacity, good reusability, and initial adsorption capacity as high as 89.2 wt % even after five times.