A self-humidifying composite membrane based on Nafion® hybrid with SiO2 supported sulfated zirconia particles (SiO2–SZ) was fabricated and investigated for fuel cell applications. The bi-functional SiO2–SZ particles, possessing hygroscopic property and high proton conductivity, were homemade and as the additive incorporated into our composite membrane. X-ray diffraction (XRD) and Fourier infrared spectrum (FT-IR) techniques were employed to characterize the structure of SiO2–SZ particles. Scanning electronic microscopy (SEM) and energy dispersive spectroscopy (EDS) measurements were conducted to study the morphology of composite membrane. To verify the advantages of Nafion®/SiO2–SZ composite membrane, the IEC value, water uptake, proton conductivity, single cell performance and areal resistance were compared with Nafion®/SiO2 membrane and recast Nafion® membrane. The single cell employing our Nafion®/SiO2–SZ membrane exhibited the highest peak power density of 0.98Wcm−2 under dry operation condition in comparison with 0.74Wcm−2 of Nafion®/SiO2 membrane and 0.64Wcm−2 of recast Nafion® membrane, respectively. The improved performance was attributed to the introduction of SiO2–SZ particles, whose high proton conductivity and good water adsorbing/retaining function under dry operation condition, could facilitate proton transfer and water balance in the membrane.