Hybrid Nafion membranes are prepared, using various fillers, such as anatase-type TiO2 nanoparticles, graphene oxide (GO) and organo-modified graphene oxide (abbreviated as GOSULF) for water purification applications. Scanning electron microscopy analysis confirms the homogeneous dispersion of the fillers. The photocatalytic properties of the hybrid membranes are evaluated using the azo dye methyl orange (MO) in aqueous solutions. The two main effects contributing to the decolourization of the dye, adsorption in the membrane and degradation in solution, are investigated in detail. Among the Nafion membranes under investigation, Nafion–GOSULF, for the first time used for water purification purposes, shows the most promising results in MO adsorption and photocatalytic degradation.