A process for manufacturing a separation membrane with excellent productivity, which can uniformly dry and imidize a separation membrane precursor solution formed on an inner surface of through-holes of a monolith substrate and which does not require complicated operations such as placement of a monolith substrate in a dryer, and the separation membrane manufactured by the process are provided. The separation membrane is manufactured comprising: causing a separation membrane precursor solution to pass through through-holes in a porous monolith substrate, to form a membrane of the precursor solution on the surface of the through-holes, and drying the membrane by causing hot wind to pass through the through-holes.