In the context of global warming, clean energy represented by fuel cells has ushered in a window period of rapid development; however, most research mainly focuses on the improvement of catalysts and performance, and there is very little research on the performance differences and energy consumption between different oxidants. In this paper, the performance differences of fuel cells with different oxidants (air and oxygen) are studied using a self-made CCM, and the economic aspect is calculated from the perspective of power improvement and energy consumption. Firstly, the CCM and GDL are prepared, and the hydrophilicity and hydrophobicity of GDL are realized by the addition of PTFE and SiO2, respectively. Secondly, through the experiment, it is found that the fuel cell can achieve the best comprehensive performance at 60 °C, and the use of oxygen can achieve the highest power increase, 117.1%, compared with air. Finally, from the perspective of economics, after excluding the power consumed for preparing oxygen, the use of oxygen as an oxidant still achieved a net power increase of 29.512%. The research in this paper clearly shows that using oxygen instead of air can greatly improve performance and is good economically, which makes it a useful exploration for the research of fuel cells.