A series of thioether cross-linked membranes based on sulfonated poly(arylene ether ketone)s containing propenyl groups were prepared to solve the problem of high methanol permeability for proton electrolyte membrane in direct methanol fuel cells (DMFCs). For this purpose, 4,4′-thiobisbenzenethiol was selected as cross-linker, and the cross-linked structure was formed via thiol-ene click chemical reaction between propenyl and thiol groups. Compared with pristine membrane, the thioether cross-linked membranes exhibited improved mechanical properties and dimensional stabilities. As the cross-linker increased, the swelling ratio decreased from 11.01% to 8.64% at 20°C and from 15.18% to 10.69% at 80°C. Furthermore, the modified membranes exhibited reduced methanol permeability coefficients (down to 4.03 × 10−7 cm2 s−1), which was nearly half of the pristine membrane (7.66 × 10−7 cm2 s−1). Due to the thioether units, the cross-linked membranes showed enhanced oxidative stabilities, and the longest elapsed time in Fenton’s reagent was 225 min, which was 2.5 times longer than that of pristine polymeric membrane. Although the proton conductivity decreased upon the addition of cross-linker agent, the selectivity value increased due to the lower methanol permeability. Thus, all the results implied that the thioether cross-linked membranes were promising alternative materials for DMFCs application.