Microstructural complexity in graft-type polymer electrolyte membranes upon operating conditions is still challenging for examination. Here, the phase separation and water channels of poly(styrene sulfonic acid) (PSSA)-grafted poly(ethylene-co-tetrafluoroethylene) (ETFE) polymer electrolyte membranes (ETFE-PEMs) are characterized by a newly applying method based on electron density fluctuation, F, in the small angle X-ray scattering (SAXS) profiles. The ETFE-PEMs exhibit an increase in phase separation in the ion exchange capacity of 0–0.7 mmol/g as qualitatively determined by the increase in the SAXS invariant. The increase in the SAXS invariant is attributed to the evolution of the newly separated phase between the surfaces of crystalline ETFE backbones and the side chains of PSSA grafts. This phase separation allows the formation of water channels upon low relative humidity (RH). The ionic-domain spacing is around 1.52 nm at dry condition and then increases to 1.69 nm at low RH of 10%, reflecting the ion-water aggregation to make larger aggregate size. At 30% relative humidity, the highly ordered lamellar proton-conducting nanochannels (water channels) are formed in the membrane, which correspond to the dramatic increase in proton conductivity. It is interesting to note that these conducting nanochannels remain unchanged upon 30–70% RH. Also, in this range of RH the similar signatures in the pair distribution function suggests that the molecular packing and local structures are highly similar. Above features of phase separation and water channels can elucidate important characteristics of the ETFE-PEMs, especially the high proton conductivity at low RH.