Natural gas consumption has grown from 5.0 trillion cubic feet (TCF) in 1949 to 27.0 TCF in 2014 and is expected to be ∼31.6 TCF in 2040. This large demand requires an effective technology to purify natural gas. Nitrogen is a significant impurity in natural gas and has to be removed since it decreases the natural gas energy content. The benchmark technology to remove nitrogen from natural gas is cryogenic distillation, which is costly and energy intensive. Membrane technology could play a key role in making this separation less energy intensive and therefore economically feasible. Molecular sieve membranes are ideal candidates to remove natural gas impurities because of their exceptional size-exclusion properties, high thermal and chemical resistance. In this review, the state of the art of molecular sieve membranes for N2/CH4 separation, separation mechanisms involved, and future directions of these emerging membranes for natural gas purification are critically discussed.