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Nature not only carefully prepares ingenious raw materials but also continuously inspires and guides human beings to create a wide variety of intelligent materials. As the most abundant mineral resource on earth, clay minerals are no longer synonymous with ceramics and cements. Many natural clay minerals can be exfoliated into single‐ or few‐layered nanosheets with exquisite physicochemical properties, which can be reassembled into functional membranes with a macroscopic controllable size and microscopic ordered structure. They are thus used in many fields including chemistry, biology, energy, and environmental science. Strategic design represents one of the key processes to enhance the value of clay minerals and broaden their applications. In this work, the three frequently used approaches of exfoliation are highlighted and the six routes of assembly including casting, dip‐coating, spray coating, vacuum filtration, electrophoretic deposition, and 3D printing are compared. The corresponding principles and advantages are summarized. Representative applications of clay‐based multifunctional membranes in protection, separation, responsiveness, flexible electronics, and energy conversion are presented. The challenges and future perspectives of the clay‐based multifunctional membranes are discussed.