Cellulose nanofibers were embedded into sulfonated poly (ether sulfone) matrix to heighten the water retention and proton conductivity of proton exchange membranes (PEMs). Cellulose nanofibers were obtained by hydrolyzing cellulose acetate nanofibers, which were prepared via electrostatic-induction-assisted solution blow spinning. Morphology, thermal stability, and mechanical properties of the PEMs were investigated. The results showed that proton conductivity, water uptake, and methanol permeability of the composite membranes were improved. Hydrophilicity of the composite membranes was gradually improved with the addition of nanofibers. When the content of nanofibers was 5 wt%, the highest proton conductivity was 0.13 S/cm (80 °C, 100% RH). Therefore, the cellulose nanofiber could be used as support materials to enhance the performance of proton exchange membranes, the composite membranes have potential application in Direct methanol fuel cells (DMFCs).