Nafion composite membranes with various amounts of sulfonated multi-walled carbon nanotubes (Su-CNTs) were prepared either in or without a strong magnetic field. Interestingly, it is found that being recast in a strong magnetic field, the tensile strength at break and proton conductivity of Su-CNTs/Nafion composite membranes parallel to the magnetic field direction were higher than those perpendicular to magnetic field. Remarkably, such anisotropic mechanical property and proton conductivity of Su-CNTs/Nafion composite membranes strongly depend on water uptake and temperature, in particular the content of Su-CNTs. Quite a different dependence of the proton conductivity of the composite membranes on Su-CNT content, relative humidities and temperatures is well explained for the anisotropic proton conductivity of the Su-CNTs/Nafion membrane recast in a strong magnetic field, which is attributed to the preferential proton transporting along ionic water channels mainly coalesced by the orientated Su-CNTs at a specific water uptake. For Nafion composite membranes with 5 wt.% Su-CNTs, the proton conductivity along the direction of treating magnetic field approaches to 0.216 S/cm, which is similar to 46% higher than that perpendicular to the magnetic field at 95 degrees C. The present work provides a deep insight of the humidity and temperature dependence of proton conductivity of Su-CNTs/Nafion composite membranes and a new strategy for fabrication proton exchange membranes with high proton conductivity as well as good mechanical property.