In the context of the global energy transition and the increasingly severe environmental issues, proton exchange membrane fuel cell (PEMFC) has attracted widespread attention due to its high efficiency and low emission characteristics. The gas diffusion layer (GDL) plays a vital role in PEMFCs by enhancing gas dispersion, facilitating water and thermal management, and providing mechanical support. However, traditional GDLs suffer from issues such as high brittleness, weak water management capability, and high resistance, all of which can lead to reduced cell performance. This study first prepared multilayer composite polyacrylonitrile (PAN)-based fiber membranes by altering the concentration of the spinning solution and employing sequential electrospinning technology. These fiber membranes were then treated by pre-oxidation and carbonization to obtain PAN-based carbon fiber membranes (CFM). Hydrophobic treatments were performed using two different methods: immersion in 1H,1H,2H,2H-perfluorodecyltrichlorosilane (PFTs) solution or treatment by steam. Comprehensive physicochemical properties of the CFMs were tested, and polarization curves and power density curves of fuel cells were measured. The study results indicated that the proe sizes of CFM fibers in single-layer, double-layer, and triple-layer structures decreased from 0.592 μm to 0.395 μm and 0.317 μm, showing a decreasing trend. Tensile strength peaked at 9.39 MPa in double-layer configurations and dropped to 5.26 MPa in triple-layer configurations. For CFMs with the same number of layers, those prepared with increasing spinning solution concentrations exhibited superior mechanical and electrical performance compared to those prepared with decreasing concentrations. Hydrophobic treatment by immersing in 0.5 g PFTs for 1 hour can significantly enhance the water management capability of the gas diffusion layer (GDL). Compared to single-layer and triple-layer GDLs, the double-layer structured GDL exhibited the highest power density of 0.520 W/cm2. This study provides new methods for the preparation of gas diffusion layers in proton exchange membrane fuel cell.