Water balance has been proven to be critical not only for the performance but also for the durability of proton exchange membrane fuel cells (PEMFCs). This paper reviews experimental investigations and modeling works on water transport and balance in different constituents of the membrane electrode assembly (MEA), which is the most important component determining the performance and durability of a PEMFC. Major water transport mechanisms in the membrane and porous layers of MEA are summarized and the strategies to balance water in these components are also discussed. However, the experimental water transport data for different components under varied operating conditions are still insufficient and the understanding of transport mechanisms is still limited. To obtain better water management in PEMFCs, the design of the key components requires refinements. For future investigations more attention should be paid to the fundamental understanding and systematic data of water transport in each component of the MEA under varied operating conditions.