A high cost of high-purity materials is one of the major factors that limit the application of ceramic membranes. Consequently, the focus was shifted to using natural and abundant low-cost materials such as zeolite, clay, sand, etc. as alternatives to well-known pure metallic oxides, such as alumina, silica, zirconia and titania, which are usually used for ceramic membrane fabrication. As a contribution to this area, the development and characterization of new low-cost ultrafiltration (UF) membranes made from natural Tunisian kaolin are presented in this work. The asymmetric ceramic membranes were developed via layer-by-layer and slip-casting methods by direct coating on tubular supports previously prepared from sand and zeolite via the extrusion process. Referring to the results, it was found that the UF kaolin top layer is homogenous and exhibits good adhesion to different supports. In addition, the kaolin/sand and kaolin/zeolite membranes present an average pore diameter in the range of 4–17 nm and 28 nm, and water permeability of 491 L/h·m2·bar and 182 L/h·m2·bar, respectively. Both membranes were evaluated in their treatment of electroplating wastewater. This was done by removing oil and heavy metals using a homemade crossflow UF pilot plant operated at a temperature of 60 °C to reduce the viscosity of the effluent, and the transmembrane pressure (TMP) of 1 and 3 bar for kaolin/sand and kaolin/zeolite, respectively. Under these conditions, our membranes exhibit high permeability in the range of 306–336 L/h·m2·bar, an almost total oil and lead retention, a retention up to 96% for chemical oxygen demand (COD), 96% for copper and 94% for zinc. The overall data suggest that the developed kaolin membranes have the potential for remediation of oily industrial effluents contaminated by oil and heavy metals.