The ability of membranes to separate oil vapor is affected by their permeance and selectivity. This study modifies polyether block amide (PEBA) composite membranes with a microporous zeolite, Silicalite-1, or a mesoporous zeolite, MCM-41. The results show that when PEBA composite membranes are modified with these zeolites, the selective layer of the composite membrane is coated more thinly, resulting in a higher flux of organic gas. Silicalite-1 increases the hydrophobicity of the membrane, which facilitates the adsorption of organic vapor on the membrane surface, thus improving the membrane selectivity. In the separation of oil vapor, both modified membranes can effectively increase the gas permeabilities and selectivities. The main mechanism governing gas transport in the MCM-41-modified membrane is Knudsen diffusion, so the selectivity for small molecules is improved more significantly. By contrast, the dissolution–diffusion mechanism is dominant in the Silicalite-1-modified membranes, which considerably increases the selectivity for large molecules.