To exploit high-quality separators for lithium ion batteries, current research activities are mainly focused on the modification of microporous polyolefin membranes by coating them with inorganic particles to achieve comprehensive improvements in their thermal stability, electrochemical compatibility, and overcharge protection. Here, we report a separator made by coating boehmite (AlOOH) particles on microporous polyethylene (PE) membranes. Compared to the commercially applied coating materials, e.g., aluminum oxide (Al2O3), AlOOH allows for a substantial reduction in the coating thickness, while ensuring excellent thermal stability of the modified PE membrane. Our study shows that this is due to the formation of an interlocking interface structure that interconnects the PE membrane and AlOOH coating layer as soon as PE melts at about 140 °C, preventing the modified PE membrane from shrinking at subsequently elevated temperatures. The modified PE membrane exhibits suitable electrolyte wettability to facilitate ion transport through it. Thus, the lithium ion batteries employing it as a separator could attain substantially improved electrochemical performance. Furthermore, the AlOOH-coated PE separator was also found to provide an excellent overcharge protection.