The present invention relates to a method of manufacturing a hydrophilized hollow fiber membrane by a continuous process using an extruder. According to the method of the present invention, thermal curing agent in the form of a monomer or a oligomer is added to a polymer solution, and in the melt state before a separation membrane is manufactured, thermal polymerization occurs due to an initial reaction of a thermal initiator at the appropriate temperature within a cylinder of the extruder. Thus, a hydrophilic component is evenly distributed into the membrane at the micro-level, and the hydrophilic component is not washed out, resulting in very high stability. Another advantage is high economic value and efficiency because the process for hydrophilizing the membrane as well as the process for manufacturing the membrane is carried out by the continuous process using the extruder without using conventional extrusion equipment in the form of an agitator.