Proton exchange membrane fuel cells (PEMFCs) exhibit increasing potential in a variety of applications, from automotive to stationary power generation, due to their superior advantages such as high efficiency, quick startup and low emissions. The cell performance and operation life of PEMFCs are directly affected by the proton exchange membranes (PEMs). Nafion, a well-known perfluorosulfonic acid polymer, represents the state of the art of PEMs. To further improve the performance of Nafion, various nanofillers are incorporated into Nafion matrices, leading to the formation of composite PEMs with enhanced proton conductivity, mechanical strength and chemical stability. This review summarizes the recent advancements in Nafion composite PEMs based on four typical kinds of nanofillers: framework nanomaterials, carbon nanomaterials, polyoxometalate nanoclusters, and inorganic oxide nanoparticles. The preparation strategy, structure-property relationship and fuel cell applications of these membranes are discussed comprehensively, particularly focusing on the synergistic effect between Nafion and nanofillers. This review can provide an instructive insight for designing high-performance PEMs towards emerging energy technologies.