A three-dimensional, two-phase, non-isothermal proton exchange membrane (PEM) water electrolyzer model was developed, aiming to reveal water and heat distribution characteristics and to explore the effects of various parameters on heat and mass transfer and performance of the electrolyzer. The results show that the electrolyzer performance depends on the combined effect of heat and mass, especially at high voltages. Although increasing the inlet velocity can accelerate the discharge of bubbles, it causes a larger temperature drop which degrades the performance. Increasing the inlet temperature can effectively improve the kinetic reaction rate of the catalyst layer and reduce the ohmic resistance of the membrane, which promotes the performance improvement. Decreasing the contact angle of anode gas diffusion layer (A-GDL) and increasing its porosity is beneficial to the transport of liquid water and improves the performance, but excessive porosity leads to a rapid increase in the ohmic resistance of A-GDL, and the optimal porosity range is 0.5 to 0.6. In addition, changes in A-GDL porosity and contact angle have little effect on temperature. Decreasing the thickness of the membrane can significantly improve the performance, but accelerate the increase of the membrane temperature at high voltage.