Sodium dodecylbenzene sulfonate (SDBS) adsorbed graphene oxide (GO) has been used as a filler to modify sulfonated poly(ether ether ketone) (SPEEK). The incorporation of SDBS-GO greatly increases the ion-exchange capacity (IEC), water uptake, and proton conductivity, while it reduces the methanol permeability through the SPEEK membranes. With well controlled contents of SDBS-GO, the composite membranes exhibit higher IEC, water uptake, and proton conductivity and lower methanol permeability than Nafion® 112, making them attractive as proton exchange membranes (PEMs). These superior characteristics make the composite membranes with optimized SDBS-GO contents exhibit superior performance in direct methanol fuel cells (DMFCs) compared to the plain SPEEK or Nafion® 112 membranes.