diff --git a/sphinx/ext/autodoc/__init__.py b/sphinx/ext/autodoc/__init__.py
index 31f390a9915..2dab6807dbf 100644
--- a/sphinx/ext/autodoc/__init__.py
+++ b/sphinx/ext/autodoc/__init__.py
@@ -626,6 +626,10 @@ def is_filtered_inherited_member(name: str) -> bool:
             if safe_getattr(member, '__sphinx_mock__', False):
                 # mocked module or object
                 pass
+            elif (self.options.exclude_members not in (None, ALL) and
+                  membername in self.options.exclude_members):
+                # remove members given by exclude-members
+                keep = False
             elif want_all and membername.startswith('__') and \
                     membername.endswith('__') and len(membername) > 4:
                 # special __methods__
@@ -695,16 +699,6 @@ def document_members(self, all_members: bool = False) -> None:
         # find out which members are documentable
         members_check_module, members = self.get_object_members(want_all)
 
-        # remove members given by exclude-members
-        if self.options.exclude_members:
-            members = [
-                (membername, member) for (membername, member) in members
-                if (
-                    self.options.exclude_members is ALL or
-                    membername not in self.options.exclude_members
-                )
-            ]
-
         # document non-skipped members
         memberdocumenters = []  # type: List[Tuple[Documenter, bool]]
         for (mname, member, isattr) in self.filter_members(members, want_all):