Hydrogen, as a clean energy carrier, is of great potential to be an alternative fuel in the future. Proton exchange membrane (PEM) water electrolysis is hailed as the most desired technology for high purity hydrogen production and self-consistent with volatility of renewable energies, has ignited much attention in the past decades based on the high current density, greater energy efficiency, small mass-volume characteristic, easy handling and maintenance. To date, substantial efforts have been devoted to the development of advanced electrocatalysts to improve electrolytic efficiency and reduce the cost of PEM electrolyser. In this review, we firstly compare the alkaline water electrolysis (AWE), solid oxide electrolysis (SOE), and PEM water electrolysis and highlight the advantages of PEM water electrolysis. Furthermore, we summarize the recent progress in PEM water electrolysis including hydrogen evolution reaction (HER) and oxygen evolution reaction (OER) electrocatalysts in the acidic electrolyte. We also introduce other PEM cell components (including membrane electrode assembly, current collector, and bipolar plate). Finally, the current challenges and an outlook for the future development of PEM water electrolysis technology for application in future hydrogen production are provided.