Direct electrocatalytic two-electro oxygen reduction (2e-ORR) on the cathode of a proton exchange membrane fuel cell (PEMFC) reactor for the co-generation of hydrogen peroxide (H2O2) and power is an economical, low-carbon, and green route for the on-site production of H2O2. However, in practice, the H2O2 that cannot be collected in a timely will accumulate and self-decompose in the catalyst layer (CL), reducing the H2O2 generation efficiency. Thus, accelerating the mass transport of H2O2 within the anodic CL is critical to efficient H2O2 generation in PEMFC. Herein, we investigated the effects of the membrane electrode assembly (MEA) fabrication process, cathode CL thickness, and cathode carrier water flow rate on H2O2 generation and cell performance in a PEMFC reactor. The results show that the catalyst-coated membrane (CCM)-type MEA exhibits high power output due to its lower proton transport resistance. However, the formed CL with a dense structure significantly limits H2O2 collection efficiency. The catalyst-coated gas diffusion electrode (GDE)-type MEA formed macroporous structures in the cathode CL, facilitating carrier water entry and H2O2 drainage. In particular, carbon cloth GDE with thin CL could construct rich macroscopic liquid channels, thus maximizing the generation of H2O2, but will impede fuel cell performance. These results suggest that the construction of a well-connected interface between CL and PEM in MEA and the establishment of a macroscopic pore structure of the CL are the keys to improve the cell performance and H2O2 collection efficiency.