Polymeric hemodialysis (HD) membranes with limited porosities, tortuous pores, and broad pore size distributions suffer from a trade-off between permeability-i.e., how fast toxins pass through the membranes- and selectivity-i.e., to what extent necessary proteins are retained. Here, a novel thin-film nanofibrous composite (TFNC) membrane, composed of an electrospun polyacrylonitrile (PAN) nanofibrous support layer and a chemically cross-linked polyvinyl alcohol (PVA) separation layer filled with heparin functionalized multi-walled carbon nanotubes (Hep-g-pMWCNTs), was demonstrated for efficient and safe HD application. Combining dialysis simulation experiments and pore-flow model, we demonstrated that the formation of free nanogaps at the interface between Hep-g-pMWCNTs and PVA matrix provided additional directional nanochannels for toxins to transport. The membranes showed efficient toxins removal without sacrificing selectivity (with the urea clearance of 88.2%, lysozyme clearance of 58.6%, and bovine serum albumin retention of 98.4% in a 4 h simulating dialysis). Especially, the efficiency in removing middle molecule toxins increased obviously compared with the values reported to date. Besides, the membranes exhibited excellent hemocompatibility: high resistance to protein adsorption, suppressed platelet adhesion, favorable anticoagulant activity, limited hemolysis ratio, and low complement activation. These facts suggested that the Hep-g-pMWCNTs/PVA/PAN TFNC membranes with superior comprehensive performances presented great potential for HD application.