Spent brewer’s yeast (Saccharomyces sp.), the second most generated by-product from the brewing industry, contains bioactive and nutritional compounds with high added value such as proteins (40–50%), polysaccharides, fibers and vitamins. Molecules of interest from agro-industrial by-products need to be extracted, separated, concentrated, and/or purified so that a minimum purity level is achieved, allowing its application. Enzymatic hydrolysis has been successfully used in the production of peptides and protein hydrolysates. The obtained hydrolysates require efficient downstream processes such as membrane technology, which is an important tool for the recovery of thermolabile and sensitive compounds from complex mixtures, with low energy consumption and high specificity. The integration of membrane techniques that promote the separation through sieving and charge-based mechanisms is of great interest to improve the purity of the recovered fractions. This review is specifically addressed to the application of membrane technologies for the recovery of peptides from yeast protein hydrolysates. Fundamental concepts and practical aspects relative to the ultrafiltration of agro-industrial protein hydrolysates will be described. Challenges and perspectives involving the recovery of peptides from yeast protein hydrolysates will be presented and thoroughly discussed.