Water management is critical for the operation of a polymer electrolyte membrane fuel cell (PEMFC). For the purposes of high power and long working-lifetime of PEMFCs, external humidifiers are always utilized as a necessary part of balance of plants to keep the imported air and fuel wet. However, they have several disadvantages, and it is beneficial to remove them so as to reduce system volume and to enhance the cold-starting capability. In this paper, a self-humidified PEMFC of an active area 250 cm2 and cell number 320 is proposed and investigated. The imported dry air on the cathode side is mixed with moisty exhaust gas by using a recirculation valve, and the dry hydrogen on the anode side is humidified by back-diffusion water through the membrane. A nonlinear model is set up based on mass transport and energy conservation equations to capture dynamics of gases in the supply and exhaust manifolds, the gas diffusion layers (GDLs), and the membrane. An analysis is conducted to investigate the influences of parameters on dynamic and stable performances. Simulation results show that system performances can be greatly affected by parameters such as air stoichiometry, current density, exhaust gas recirculation (EGR) ratio, and membrane thickness. By accurately controlling the EGR ratio and carefully selecting design and operation parameters, it is probably for a PEMFC without an external humidifier to have similar system efficiency compared to a traditional system.