Mild alkaline treatment (1.5% NaOH (w/v), solid:liquid ratio of 1:20, 60 °C, 6 h) of sugarcane bagasse (SCB) produced an extract composed of hemicelluloses, lignin, phenolic monomers and acetic acid. The purification of this extract, usually considered a by-product in lignocellulosic biorefineries, is of major importance to give value to the whole mild alkaline fractionation process. Ultrafiltration was assessed to separate the components of the SCB alkaline extract which is a prerequisite for their further valorization. The permeate flux and the retention of the extract components were studied on seven membranes (polysulfone hollow fiber and ceramic tubular) with different molecular weight cut-offs, under various operating conditions. On all the membranes tested, oligomers of lignin and hemicelluloses were separated from salts, phenolic monomers and acetic acid. The 10 kDa polysulfone hollow fiber membrane presented the highest lignin and hemicelluloses retention, exceeding 85 and 90%, respectively, regardless of shear rate and with a limited influence of transmembrane pressure. For salts, acetic acid and phenolic monomers, retention levels of about 0–10% were recorded for this membrane. At 2.8 bar and at 20 °C, the permeate flux reached 16 L/h/m2 and the critical flux was not reached.