The aim of this work is to evaluate the possible use of Nexar polymer, a sulfonated pentablock copolymer (s-PBC), whose structure is formed by tert-butyl styrene, hydrogenated isoprene, sulfonated styrene, hydrogenated isoprene, and tert-butyl styrene (tBS-HI-SS-HI-tBS), as a more economical and efficient alternative to Nafion((R)) membrane for proton exchange membrane (PEM) electrolysis cells. Furthermore, we have studied a new methodology for modification of gas diffusion layers (GDL) by depositing Pt and TiO2 nanoparticles at the cathode and anode side, respectively, and a protective polymeric layer on their surface, allowing the improvement of the contact with the membrane. Morphological, structural, and electrical characterization were performed on the Nexar membrane and on the modified GDLs. The use of modified GDLs positively affects the efficiency of the water electrolysis process. Furthermore, Nexar showed higher water uptake and conductivity with respect to Nafion((R)), resulting in an increased amount of current generated during water electrolysis. In conclusion, we show that Nexar is an efficient and cheaper alternative to Nafion((R)) as the proton exchange membrane in water splitting applications and we suggest a possible methodology for improving GDLs' properties. These results meet the urgent need for low-cost materials and processes for hydrogen production.