The nonlinear autoregressive moving average model with exogenous inputs (NARMAX) approach is employed to analyze time-frequency domains for the proton exchange membrane fuel cell (PEMFC) system. The time-domain nonlinear NARMAX model of PEMFC system is modeled from measured experimental input and output data. The outputs obtained by using the time-domain NARMAX model were confirmed by model validation tests which compare the models predictive outputs with actual system outputs, in an interactive environment. This provides a potentially nondestructive tool for the modeling of a nonlinear PEMFC system. Then, the generalized frequency response function (GFRF) is employed in the frequency-domain, which is computed directly from the time-domain NARMAX model, to provide information about the types of nonlinearities in a PEMFC. The analysis revealed that the time-domain model provides better parameter estimation and a good forecasting ability. The frequency-domain response function is consistent with actual reaction mechanisms. The results illustrate that the time-frequency domain NARMAX approach can be effectively employed in modeling and identifying of PEMFC system. Crown Copyright (C) 2015, Hydrogen Energy Publications, LLC. Published by Elsevier Ltd. All rights reserved.