During recombinant protein expression in Pichia pastoris under the alcohol oxidase promoter, the culture supernatant developed green and yellow pigments, complicating downstream processing. Currently, a chromatography-based purification approach is one of the most efficient strategies to eliminate these pigments, but this method is complicated and often the most expensive step during processing. In this study, we designed a sequential cross-flow filtration by the combination of a microfiltration membrane with a pore size of 0.2 micrometers, followed by an ultrafiltration membrane with a molecular weight cut-off of 10 and 2 kilodaltons (kDa), respectively, and finished with diafiltration of the 10 and 2 kDa retentate fractions. The results show that the microfiltration membrane eliminated host cell impurities and significantly reduced the green pigment, which was measured using the 1976 CIE LAB system, while the 10 and 2 kDa membranes allowed the yellow pigment to pass through. The diafiltration steps also significantly reduced the yellow pigment. The host cell proteins were removed by recirculating in the retentate fraction of the 10 kDa membrane, while the 4.1 kDa target peptide, the candidate cell-penetrating antimicrobial peptide, was recovered by recirculation in the retentate fraction of the 2 kDa membrane.