A supercritical CO2 (SC-CO2) assisted phase inversion process was tested to load a fructose exopolysaccharide with amphiphilic properties (i.e., levan) in membranes of polyvinylidenefluoride-co-hexafluoropropylene (PVDF-HFP). The aim was to investigate the effect of levan on the morphological and biological properties of PVDF-HFP membranes. Different loadings of levan from 0 to 50% w/w were tested: PVDF-HFP + levan membranes characterized by a foam-like structure were generated, with an increase of overall porosity from 75 to 90%. The effect of levan addition on mechanical and biological characteristics of PVDF-HFP membranes was also studied: a decrease of the mechanical resistance from 12 to 1 MPa and an increase of cells (colon cancer cell line HTC-116) adhesion from 8% to 35% were measured. In conclusion, SC-CO2 assisted process was able to generate composite structures potentially useful for biological applications, characterized by a homogeneous distribution of levan and by improved biological properties.