The thermal and mechanical behavior, the water uptake (WU), and water diffusion coefficient of sulfonated poly(ether ether ketone) (SPEEK) membranes annealed at 180 °C for different times were explored by high-resolution thermogravimetric analysis, mechanical tensile tests, dynamic mechanical analysis, and WU measurements. The mechanical and thermal stability increased with the thermal treatment time, i.e., with the degree of crosslinking. The effect of residual casting solvent, dimethyl sulfoxide (DMSO), on the WU within SPEEK was probed. In presence of residual DMSO, crosslinked SPEEK exhibited higher water sorption at low and medium relative humidity (RH), and lower water sorption at high RH. These membranes have properties well adapted to fuel cell applications.