In this study, chemically cross-linked asymmetric P84® co-polyimide hollow fibre membranes with enhanced separation performance were fabricated, using a dry-wet spinning process with an innovative in-line cross-linking step. The chemical modification was conducted by controlled immersion of the coagulated fibre in an aqueous 1,5-diamino-2-methylpentane (DAMP) cross-linker solution before the take-up. The effect of the cross-linker concentration on the thermal, mechanical, chemical and gas transport properties of the membranes was investigated. FT-IR/ATR analysis was used to identify the chemical changes in the polymer, while DSC analysis confirmed the changes in the Tg and the specific heat of the polymer upon cross-linking. Chemical cross-linking with a 10 wt.% aqueous DAMP solution strongly enhanced the H2/CO2 ideal selectivity from 5.3 to 16.1, while the H2 permeance of the membranes decreased from 7.06 × 10−3 to 1.01 × 10−3 m3(STP) m−2 h−1 bar−1 for a feed pressure of 1 bar at 25 °C. The increase of selectivity with decreasing permeance is somewhat higher than the slope in the Robeson upper bound, evidencing the positive effect of the cross-linking on the separation performance of the fibres. Simultaneously, the cross-linking leads to improved mechanical resistance of the membranes, which could be further enhanced by an additional thermal treatment. The produced membranes are therefore more suitable for use under harsh conditions and have a better overall performance than the uncross-linked ones.