Polymer electrolyte fuel cells (PEFCs) provide efficient and carbon-free power by converting the hydrogen chemical energy. The PEFCs can reach their greatest performance in humidified condition, as proton exchange membranes (PEMs) should be humidified for their proton transportation function. Thus, external humidifiers are commonly employed to increase the water content of reactants. However, being burdened with external humidifiers can make the control of PEFCs complicated and costly, in particular for transportation application. To overcome this issue, self-humidifying PEMs have been introduced, with which PEFC can be fed by dry reactants. In fact, internal humidification is accomplished by produced water from the recombination of permeated hydrogen and oxygen gases on the incorporated platinum catalysts within the PEM. While the water production agent remains constant, there is a broad range of additives that are utilized to retain the generated water and facilitate the proton conduction path in the PEM. This review paper has classified the aforementioned additives in three categories: inorganic materials, proton-conductive materials, and carbon-based additives. Moreover, synthesis methods, preparation procedures, and characterization tests are overviewed. Eventually, self-humidifying PEMs endowed with platinum and different additives are compared from performance and stability perspectives, such as water uptake, proton conductivity, fuel cell performance, gas cross-over, and the overall durability. In addition, their challenges and possible solutions are reviewed. Considering the concerns regarding the long-term durability of such PEMs, it seems that further investigations can be beneficial to confirm their reliability for prolonged PEFC operation.