A self-humidifying proton exchange membrane (PEM) composition, a membrane-electrode assembly, and a fuel cell. The PEM composition comprises (a) a proton-conducting polymer; (b) a catalyst that promotes the chemical reaction between hydrogen and oxygen molecules to generate water in the membrane, and (c) a deliquescent material dispersed in this polymer. The amount of catalyst is preferably 0.01%-50% by weight on the basis of the polymer weight. The catalyst is preferably a metal catalyst selected from the group consisting of platinum, gold, palladium, rhodium, iridium, ruthenium, and mixtures and alloys thereof. Suitable deliquescent materials include, but are not limited to, calcium chloride, calcium bromide, potassium biphosphate, potassium acetate and combinations thereof. A deliquescent material absorbs and retains an essentially constant amount of moisture to keep the proton mobile in the PEM structure. The fuel cell containing such a PEM composition can be used in a higher temperature and/or lower-humidity environment.