Ethylene glycol (EG) and its derivatives were proposed as internal coagulants to spin hollow fiber membranes of the commercial polymer poly(ether imide) (PEI) and compared with water. The thermodynamic and kinetic characteristics of the polymer-solvent-nonsolvent systems were analyzed. The morphology and ultrafiltration performance of the resultant membranes were investigated. Water leads to a fast precipitation rate while a slow process is obtained for EG derivatives because of their high viscosity, large molecular size, and weak nonsolvent capability. The hollow fibers prepared with EG derivatives as bore fluids have thinner walls, which promote less resistance to the permeant transport. High rejections of bovine serum albumin (66 kg/mol), ovalbumin (45 kg/mol), and α-lactalbumin (14 kg/mol) were detected. The good performance combined with the nontoxicity of the EG derivatives makes them promising coagulants for membrane fabrication.