Polyhedral oligomeric silsesquioxane (POSS) has attracted increasing attention because of its organic/inorganic, nanosize, easily functional nature, especially in the applications of direct methanol fuel cells (DMFCs). In this work, we have successfully synthesized a novel bifunctional POSS (Vi-POSS-SO3Na) with vinyl and sulfonic acid groups by thiol-ene click reaction. Vi-POSS-SO3Na was introduced into Nafion® matrix and cross-linked by in-situ simply thermal treatment. The implantation of the bifunctional POSS filler gives significant improvements in the performance of such proton exchange membranes (PEMs). The cross-linked hybrid membrane with 12 wt% of Vi-POSS-SO3Na (X-Nafion@POSS-12) has a high proton conductivity (121 mS cm−1) at 80 °C, excellent dimensional stability and the lowest methanol permeability (5.4 × 10−8 cm2 s−1). The highest power density of the DMFCs was obtained by using the X-Nafion@POSS-12 as PEM in DMFC at 80 °C, and its value (34.93 mW cm−2) is twice higher than that of Nafion 212 membrane (14.90 mW cm−2). The novel in-situ fabrication method gives a simple and potential approach for the preparation of PEMs used in DMFCs.