The morphological changes of Nafion thin films with thicknesses from 10 to 200 nm on Pt substrate with various annealing histories (unannealed to 240 °C) were systematically investigated using grazing incidence small-angle X-ray scattering (GISAXS) and grazing incidence wide-angle X-ray scattering (GIWAXS). The results revealed that the hydrophilic ionic domain and hydrophobic backbone in Nafion thin films changed significantly when the annealing treatment exceeded the cluster transition temperature, which decreased proton conductivity, due to the constrained hydrophilic/hydrophobic phase separation, and increased the crystalline-rich domain. This research contributed to the understanding of ionomer thermal stability in the catalyst layer, which is subjected to thermal annealing during the hot-pressing process.