In this study, sodium (Na)-alginate/carbon nanotubes (CNTs) composite spheres were synthesized by an energy-saving dripping–gelatinization method. With the combination of the good biocompatibility of Na-alginate and excellent adsorption properties of CNTs, the porous composite spheres turned out to be a promising candidate as an adsorbent in hemoperfusion. The adsorption results showed that the maximum adsorption capacity for VB12 was 21.6 mg/g for the as-prepared composite spheres with 60 wt% CNTs. Scanning electron microscopy observations indicated that a compact shell formed during the Na-alginate gelatinization, which restricted the potential adsorption capacity of CNTs, even though the ratio of CNTs increased further. An obvious enhancement of the adsorption capacity was achieved by a modified freeze-casting–gelatinization process. Specifically, the VB12 adsorption reached 40.6 mg/g, which was much higher than that of commercialized clinically used activated carbon and macroporous resin spheres (i.e., 14.0 and 15.3 mg/g, respectively). This dramatic improvement could be attributed to the hierarchical porous structure, a higher pore volume and porous shell acquired during the freeze-casting process. These hierarchical pores could not only provide a radial throughway for VB12 diffusion, but also create more adsorption sites, which were proved by Brunauer–Emmett–Teller and mercury porosimetry analyses.