Finned tubular air gap membrane distillation is a new membrane distillation method, and its functional performance, characterization parameters, finned tube structures, and other studies have clear academic and practical application value. Therefore, the tubular air gap membrane distillation experiment modules composed of PTFE membrane and finned tubes were constructed in this work, and three representative air gap structures, including tapered finned tube, flat finned tube, and expanded finned tube, were designed. Membrane distillation experiments were carried out in the form of water cooling and air cooling, and the influences of air gap structures, temperature, concentration, and flow rate on the transmembrane flux were analyzed. The good water-treatment ability of the finned tubular air gap membrane distillation model and the applicability of air cooling for the finned tubular air gap membrane distillation structure were verified. The membrane distillation test results show that with the tapered finned tubular air gap structure, the finned tubular air gap membrane distillation has the best performance. The maximum transmembrane flux of the finned tubular air gap membrane distillation could reach 16.3 kg/m2/h. Strengthening the convection heat transfer between air and fin tube could increase the transmembrane flux and improve the efficiency coefficient. The efficiency coefficient (σ) could reach 0.19 under the condition of air cooling. Compared with the conventional air gap membrane distillation configuration, air cooling configuration for air gap membrane distillation is an effective way to simplify the system design and offers a potential way for the practical applications of membrane distillation on an industrial scale.