Natural zeolite is widely used in removing ammonia via adsorption process because of its superior ion-exchange properties. Ceramic particle size affects the adsorptivity of particles toward ammonia. In this study, hollow fiber ceramic membrane (HFCM) was fabricated from natural zeolite via phase inversion. The effect of natural zeolite particle size toward the properties and performance of HFCM was evaluated. The results show that the HFCM with smaller particle sizes exhibited a more compact morphological structure with better mechanical strength. The adsorption performance of HFCM was significantly improved with smaller particle sizes because of longer residence time, as proven by the lower water permeability. A high adsorption performance of 96.67% was achieved for HFCM with the smallest particle size (36 μm). These findings provide a new perspective on the promising properties of the natural zeolite-derived HFCM for ammonia removal.