This invention discloses a process for shaping a novel composite proton exchange membrane. The process comprises: dissolving perfluorosulfonic acid in aqueous solution of low-boiling-point organic alcohol, adding high-boiling-point organic solvent and silica sol to obtain membrane-forming solution, dragging base membrane-expanded PTFE microporous membrane on the carry roller of a membrane-forming machine, soaking the base membrane in the low-concentration resin solution, drying at 40-100 deg.C, soaking in the high-concentration resin solution, drying at 40-100 deg.C, soaking and drying repeatedly until the thickness of the composite membrane reaches the predetermined value, and shaping the composite membrane in a drier at 120-200 deg.C. The process is simple, and suitable for mass production. The obtained composite proton exchange membrane has such advantages as high self-water-generating and water-retaining ability, high environmental adaptability, high strength and size stability, and long service life.