This paper examines polymer film morphology and several important properties of polyethylene-graft-sulfonated polyarylene ether sulfone (PE-g-s-PAES) proton exchange membranes (PEMs) for direct methanol fuel cell applications. Due to the extreme surface energy differences between a semi-crystalline and hydrophobic PE backbone and several amorphous and hydrophilic s-PAES side chains, the PE-g-s-PAES membrane self-assembles into a unique morphology, with many proton conductive s-PAES channels embedded in the stable and tough PE matrix and a thin hydrophobic PE layer spontaneously formed on the membrane surfaces. In the bulk, these membranes show good mechanical properties (tensile strength >30 MPa, Young’s modulus >1400 MPa) and low water swelling (λ < 15) even with high IEC >3 mmol/g in the s-PAES domains. On the surface, the thin hydrophobic and semi-crystalline PE layer shows some unusual barrier (protective) properties. In addition to exhibiting higher through-plane conductivity (up to 160 mS/cm) than in-plane conductivity, the PE surface layer minimizes methanol cross-over from anode to cathode with reduced fuel loss, and stops the HO• and HO2• radicals, originally formed at the anode, entering into PEM matrix. Evidently, the thin PE surface layer provides a highly desirable protecting layer for PEMs to reduce fuel loss and increase chemical stability. Overall, the newly developed PE-g-s-PAES membranes offer a desirable set of PEM properties, including conductivity, selectivity, mechanical strength, stability, and cost-effectiveness for direct methanol fuel cell applications.