This work shows the preparation of thin mixed matrix membranes (MMMs) with a 2–3 μm thick Pebax® 1657 layer on two different supports: a porous asymmetric polyimide P84® and dense polytrimethylsilylpropyne (PTMSP). Nanoparticles of metal–organic frameworks (MOFs) ZIF-8, MIL-101(Cr), UiO-66 and ZIF-7/8 core–shells were selected as fillers for the Pebax® 1657 based MMMs, all of them being MOFs with high CO₂ adsorption capacity but different pore size distribution. All the membranes were characterized by SEM, FTIR, Raman, TGA and XRD analyses, showing in all cases a perfect compatibility of the Pebax® layer with both supports and also a good dispersion of the fillers in the polymeric matrix. These membranes were applied for the separation of equimolar CO₂/CH₄ mixtures at 35 °C under feed pressures between 3 and 5 bar, where an improvement in the gas separation performance with increasing pressure was noticed, thanks to the favored solubility of CO₂. The synergistic compatibility between Pebax® 1657 and P84® gave rise to a 470% enhancement in CO₂/CH₄ selectivity, reaching a maximum value of 114 while the CO₂ permeance increased by 40% up to 7.5 GPU. The addition of fillers in the Pebax® polymeric phase produced an improvement in the gas separation performance of the membranes, especially in terms of permeance, where the MMMs containing a 10 wt% loading of UiO-66 reached the optimum value of 11.5 GPU of CO₂ (together with a CO₂/CH₄ selectivity of 55.6).