Zirconia (ZrO2) membranes experienced rapid progress in applications demanding high-stability membranes own to their higher chemical resistance and hydrophilicity compared to silica and alumina. Moreover, ZrO2 membranes have increased fouling resistance, high permeability, and a long lifetime making them broadly applied in drinking water production, wastewater treatment, petrochemical, food, and beverages industries. However, fabricating ZrO2 membranes for Nanofiltration and Gas Separation is still challenging. This paper reviews the progress in fabricating ZrO2 membranes, focusing on strategies for achieving smaller pores without losing their high permeability and selectivity. The current state of the art in commercial ZrO2 membranes and the recent innovations in academia are critically reviewed. A comprehensive revision of sol-gel technique's critical synthesis and process parameters is presented along with the most recent molecular layer deposition method. This work aims to provide a guide for both starting and established researchers, thus filling a gap in the present literature.