The Nafion® electrolyte membrane, which provides a proton pathway, is an essential element in fuel cell systems. Thermal treatment without additional additives is widely used to modify the mechanical properties of the membrane, to construct reliable and durable electrolyte membranes in the fuel cell. We measured the microscopic mechanical properties of thermally annealed membranes using atomic force microscopy with the two-point method. Furthermore, the macroscopic property was investigated through tensile tests. The microscopic modulus exceeded the macroscopic modulus over all annealing temperature ranges. Additionally, the measured microscopic modulus increased rapidly near 150 °C and was saturated over that temperature, whereas the macroscopic modulus continuously increased until 250 °C. This mismatched micro/macroscopic reinforcement trend indicates that the internal reinforcement of the clusters is induced first until 150 °C. In contrast, the reinforcement among the clusters, which requires more thermal energy, probably progresses even at a temperature of 250 °C. The results showed that the annealing process is effective for the surface smoothing and leveling of the Nafion® membrane until 200 °C.