A separation membrane for removing contaminants comprises: a hydrophobic membrane; and a graphene oxide layer formed to cover the hydrophobic membrane partially or wholly, wherein one surface of the hydrophobic membrane facing the graphene oxide layer has been hydrophilic-processed. The separation membrane is capable of enhancing removal efficiency on volatile contaminants, while maintaining a performance of the conventional separation membrane. The separation membrane is useful as a separation membrane for water treatment. Further, the separation membrane may be comprised in a membrane distillation apparatus, or may be utilized as a filter of a humidifier or a water purifier.