Water scarcity is a grand challenge that requires continuous exploration of new desalination technologies in order to augment the global supply of fresh water. In this context, membrane distillation (MD) is a promising technology that operates based on a thermal gradient to transfer vapor molecules across a porous hydrophobic membrane. Lack of suitable membranes is one of the major challenges hindering commercialization of the MD process. As a result, MD membranes have attracted unprecedented research attention over the decades and significant progress has been witnessed in the design and fabrication of suitable MD membranes. This review represents a timely overview of the desired characteristics of MD membranes that have been developed. The state of the art of various developments and the recent research trends in MD membrane have been thoroughly discussed. An up-to-date review of the polymeric, inorganic, electrospun, dual-layer, triple-layer, and modified MD membranes is provided. Finally, the research gaps, challenges faced, and future research directions are highlighted.