A novel method of inline coupling of microdialysis (MD) with CE has been investigated. A polysulfone MD membrane was in situ prepared at the inlet end of the separation which endued the capillary with an additional function of clean-up sampling capillary, and made the pretreatment of complex matrices simple. The properties of the membrane and its influence on electrophoresis were evaluated. The membrane cut off macromolecules and particles efficiently and persistently, and changing the components of membrane-casting solution could control the molecular weight cutoff of the membrane. Using the capillary having the MD membrane in electrophoresis, column efficiency with little reduction was achieved. The mixture of chlorpheniramine (CPA) and BSA was used to verify the analytical characteristics. Only the peak of CPA appears in the electropherograms and the RSDs of migration times and peak areas of CPA were 0.8 and 4.6%, respectively. The method was applied for the determination of glucose in human blood using an electrochemical detector. Whole blood containing glucose and macromolecules was electrokinetically injected directly into the capillary without pretreatment, and the concentration of glucose in human blood was 5.5 mmol/L. Equilibrium dialysis injection is also investigated in this paper. The results show that the method may be further used for in vivo sampling to monitor the endogenous or exogenous small molecules and their metabolites.