During the long-term operation of proton exchange membrane water electrolyzers (PEMWEs), Formation of localized hotspots in the catalyst-coated membrane (CCM) will seriously threaten the safe and efficient operation of the electrolyzer. This paper adopts a combination of dynamic experiments and numerical simulation analysis, aiming to develop the in-situ characterization technology of the thermal characteristics as well as the theoretical analysis of the multiphysics field for the·PEMWE. Based on both experimental and theoretical results, it is concluded that: (1) The high current density leads to an extremely uneven temperature distribution on the surface of the CCM. High temperature difference (as high as 34.04 °C) and high local temperature (up to 98.08 °C) are observed; (2) 30–50% of the electrical energy during the electrolyzer is converted into heat, of which the polarization heat accounts for the major part, followed by proton-conductive Joule heat; (3) The accumulation of gas phase during the transfer process of gas-liquid two phases is the primary cause of the deterioration of heat transfer, which further leads to local overheating. This study provides an experimental and theoretical basis for the safe and efficient operation of proton exchange membrane water electrolysis technology.