Asymmetric membranes present promising characteristics for wound dressing applications. A porous structure uptakes the wound exudate, whereas an occlusive layer (upper film) inhibits the microbial penetration and prevents an excessive loss of water. Konjac glucomannan (KGM) is a natural polysaccharide that has been investigated as wound dressings in the form of films, sponges, and hydrogels due to its flexibility, swelling capacity, biocompatibility, and low cost. However, there are no studies on literature regarding the development of KGM asymmetric membranes. In this study, we investigated a new casting–freezing process for the production of KGM asymmetric membranes. The scanning electron microscopy and thermogravimetric analyses indicated an asymmetric morphology and a good thermal stability of the membrane samples, respectively. Moreover, biological, mechanical, and fluid-handling capacity tests showed that the membrane is biocompatible and resistant to handling structure, which was also able to retain the ideal moist conditions for wound healing.