The asymmetric membranes were prepared by dry-wet phase inversion method, in which polyacrylonitrile (PAN) was used as the precursor, N-methylpyrrolidone as the solvent and water as the coagulant. The change of chemical and microstructure during the air preoxidation and effect of preoxidation conditions on the structure and gas separation performance of obtained PAN membranes were investigated via FT-IR, XRD, SEM and constant pressure variable volume method. Results indicate that the chemical structure of PAN membrane is transformed from linear structure into three-dimensional structure due to oxidative crosslinking reaction during the preoxidation process which makes PAN membranes turn into thermosetting materials from thermoplastic ones. Peoxidation process also greatly influences the gas separation performance of PAN membranes. Increasing the preoxidation temperature, holding time and air flow rate are all beneficial to improve the performance. However, the excessive preoxidation makes the performance decrease. SEM shows that the preoxidation membrane has the basic pore morphology of polymer membrane.