Nafion membranes are still the dominating material used in the polymer electrolyte membrane (PEM) technologies. They are widely used in several applications thanks to their excellent properties: high proton conductivity and high chemical stability in both oxidation and reduction environment. However, they have several technical challenges: reactants permeability, which results in reduced performance, dependence on water content to perform preventing the operation at higher temperatures or low humidity levels, and chemical degradation. This paper reviews novel composite membranes that have been developed for PEM applications, including direct methanol fuel cells (DMFCs), hydrogen PEM fuel cells (PEMFCs), and water electrolysers (PEMWEs), aiming at overcoming the drawbacks of the commercial Nafion membranes. It provides a broad overview of the Nafion-based membranes, with organic and inorganic fillers, and non-fluorinated membranes available in the literature for which various main properties (proton conductivity, crossover, maximum power density, and thermal stability) are reported. The studies on composite membranes demonstrate that they are suitable for PEM applications and can potentially compete with Nafion membranes in terms of performance and lifetime.