Production of electrical energy in an environmental‐friendly manner is important for meeting the increasing demand of electricity in smart vehicles and energy devices. Benefitted from its moderate working temperatures and high conversion efficiency, proton exchange membrane fuel cell (PEMFC) has received broad attention and commercialized rapidly in the past decades. Herein, we comprehensively review the advanced types of electrolytes and their underlying working mechanisms to offer a considerate guidance to develop novel electrolytes with high proton conductivity and wide working temperature window. Moreover, to rationally design cost‐effective and robust electrodes, the well‐developed anode and cathode and their fundamental working principles are elaborately reviewed and discussed. Furthermore, from the viewpoint of overall structure, fabricating approaches of functional components of PEMFC and their corresponding influencing factors are minutely reviewed and analyzed with the aim of tuning cell performance and preparing PEMFC in a high‐throughput way. Lastly, we highlight the conclusions of this review and present the penitential developing directions.