As a promising alternative to petroleum fossil energy, polymer electrolyte membrane fuel cell has drawn considerable attention due to its low pollution emission, high energy density, portability, and long operation times. Proton exchange membrane (PEM) like Nafion plays an essential role as the core of fuel cell. A good PEM must have satisfactory performance such as high proton conductivity, excellent mechanical strength, electrochemical stability, and suitable for making membrane electrode assemblies (MEA). However, performance degradation and high permeability remain the main shortcomings of Nafion. Therefore, the development of a new PEM with better performance in some special conditions is greatly desired. In this review, we aim to summarize the latest achievements in improving the Nafion performance that works well under elevated temperature or methanol-fueled systems. The methods described in this article can be divided into some categories, utilizing hydrophilic inorganic material, metal-organic frameworks, nanocomposites, and ionic liquids. In addition, the mechanism of proton conduction in Nafion membranes is discussed. These composite membranes exhibit some desirable characteristics, but the development is still at an early stage. In the future, revolutionary approaches are needed to accelerate the application of fuel cells and promote the renewal of energy structure.