Air gap membrane distillation (AGMD) and permeate gap membrane distillation (PGMD) were investigated and compared through self-developed hollow fiber membrane modules with internal energy recovery. The effects of the feed temperature, the coolant temperature, the flow rate, the gap thermal conductivity, and the gap width on the flux and the gained output ratio (GOR) were evaluated experimentally. The gap between the membrane and the condensing surface was a key factor affecting the flux and the GOR in both AGMD and PGMD. It was found that the improvement of gap thermal conductivity using brass net was useless in improving flux and GOR. The permeate water filled in the gap changed the process of mass and heat transfer in the gap which gave rise to the increase in the flux and thermal recovery. The flux and GOR in PGMD increased by 7.9% and 59.82% in the gap of 0.5 mm compared to the AGMD. The salt rejection of all experiments was greater than 99.8%.