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Proton exchange membrane fuel cells are devices that directly convert chemical energy to electricity. A hydrogen oxidation reaction takes place on the anode side, generating protons and electrons. In the cathode, oxygen reduction reaction involving oxygen, proton and electron occurs, producing water and heat. The water content in PEMFCs should be maintained at a reasonable amount to avoid water flooding or membrane dehydration. The thermal management and water management of PEMFCs are important for an efficient and stable operation of PEMFCs. Inside the multiscale spaces of PEMFCs, multiphase flow with a phase change, heat and mass transfer, proton and electron conduction, and electrochemical reaction simultaneously take place, which play important roles in the performance, lifetime and cost of PEMFCs. These processes should be well understood for better designing PEMFCs and improving the thermal management and water management.