The proton exchange membrane (PEM) is pivotal among the various components of proton exchange membrane fuel cells (PEMFCs). From the many PEMs, perfluorosulfonic acid and non-fluorinated hydrocarbon electrolyte membranes are used in PEMFC operation, but they have a limited performance above 90 °C and at a relative humidity (RH) below 50%. Hence, the incorporation of nanoclay, an inorganic filler, into polymer matrixes has been attempted to improve the performance of PEMs. Nanoclays, such as montmorillonite and laponite in a layered silicate morphology, sepiolite nanofibers and halloysite nanotubes, with their fiber morphologies, and layered double hydroxide are attractive for composite membranes because they improve the hydrophilicity, hygroscopicity, and thermal stability of composite membranes at intermediate temperatures and low RH. The introduction of nanoclays also improves the mechanical properties. Furthermore, nanoclays are cost-competitive among the nanomaterials, thereby offering the potential to reduce composite membranes costs. This review highlights the preparation of composite membranes containing sulfonic, perfluorosulfonic, and amine groups, and other types of functionalized nanoclays, as well as the characterization of the composite membranes and cell performances operating at low RH.