Cross-linked sulfonated poly (ether ether ketone) (C-SPEEK) membranes for direct methanol fuel cell (DMFC) applications are prepared using SPEEK with chloromethyl side groups (SPEEK-Cl) and poly (2,5-benzimidazole)-grafted graphene oxide (ABPBI-GO) as a cross-linker. The C-SPEEK membranes exhibit remarkably improved physicochemical stability and decreased methanol permeability compared to a pristine SPEEK membrane and SPEEK composite membranes composed of SPEEK and GO based fillers such as GO and ABPBI-GO. Although the proton conductivities of the C-SPEEK membranes are smaller than those of the pristine SPEEK and SPEEK composite (SPEEK/GO and SPEEK/ABPBI-GO) membranes, cell performances of the membrane electrode assemblies (MEAs) using the C-SPEEK membranes with the optimized contents of ABPBI-GO (cross-linker) are better than those using the pristine SPEEK and SPEEK composite membranes due to the well dispersion of ABPBI-GO by forming an effectively covalent bonded network structure with SPEEK-Cl resulting in the decreased methanol permeability. The maximum power density of the MEA with the C-SPEEK membrane (86 mW cm−2) is larger than those with the pristine SPEEK (71 mW cm−2) and SPEEK composite (69 mW cm−2) membranes at 60 °C with 1.5 M methanol/air feed condition.