Investigating the dehydration process of a Nafion membrane helps to understand the mechanism of the decrease in its proton conductivity under high-temperature and low-humidity conditions. Herein, the influence of thermal treatment on a H2O-saturated Nafion membrane was in situ studied by FTIR spectroscopy. With the aid of generalized two-dimensional correlation spectroscopy (2Dcos), the microstructural changes during the thermal treatment were discussed in detail. In short, side-chain regions first lost H2O, followed by the H2O loss in ionic cluster domains. It resulted in shrunken ionic channels in the Nafion membrane, which exhibited a negative influence on its proton conduction. The immediate aftermath was the crystallization of amorphous backbone regions. All these results were confirmed by TGA and XRD techniques, and the 2Dcos method was first applied in TGA and XRD results in this field.