Proton-exchange membrane water electrolysis (PEMWE) is considered one of the most influential and practical methods for green hydrogen production with the advantages of zero carbon emission, compact structure, small footprint, high current density and high purity of hydrogen production. Although significant progress has been achieved in improving the efficiency of PEMWE, large gaps still stand in the way of its scale-up and long-term applications due to grand challenges such as expensive catalysts and durability issues in acidic media. In this paper, we focus on the advances of the latest rational design of PEMWE components to bridge the gap for their practical applications. First, the basic principle of PEMWE is introduced, its advantages and disadvantages are summarized, and PEMWE is compared with four other water electrolyzers. Highlighting the latest research progress and development status of key components for improving cell performance and reducing overall costs, such as proton membranes, catalysts, membrane electrode assemblies (MEA), gas diffusion electrodes (GDLs), and bipolar plates (BPPs), recent total cost estimates for PEMWE are provided and analyzed. Finally, current problems and possible solutions to PEMWE are discussed. We hope this review can provide a reference for the researchers and further promote the development of PEMWE.