Proton exchange membrane water electrolyzer (PEMWE) represents a promising technology for the sustainable production of hydrogen, which is capable of efficiently coupling to intermittent electricity from renewable energy sources (e.g., solar and wind). The technology with compact stack structure has many notable advantages, including large current density, high hydrogen purity, and great conversion efficiency. However, the use of expensive electrocatalysts and construction materials leads to high hydrogen production costs and limited application. In this review, recent advances made in key materials of PEMWE are summarized. First, we present a brief overview about the basic principles, thermodynamics, and reaction kinetics of PEMWE. We then describe the cell components of PEMWE and their respective functions, as well as discuss the research status of key materials such as membrane, electrocatalysts, membrane electrode assemblies, gas diffusion layer, and bipolar plate. We also attempt to clarify the degradation mechanisms of PEMWE under a real operating environment, including catalyst degradation, membrane degradation, bipolar plate degradation, and gas diffusion layer degradation. We finally propose several future directions for developing PEMWE through devoting more efforts to the key materials.