Load changing performance is significant for the application of proton exchange membrane fuel cells (PEMFCs). This paper compares experimental results of the hydrogen-air and hydrogen-oxygen PEMFC and analyzes their dynamic performance under various operating conditions. We use electrochemical impedance spectroscopy to investigate the intrinsic mechanism during load changing. Due to the higher oxygen concentration, the hydrogen-oxygen PEMFC responds faster (within 1 second) and operates more steadily than the hydrogen-air PEMFC (2-20 seconds). The experimental results show that the total polarization resistance of the hydrogen-air PEMFC and the Ohmic resistance of the hydrogen-oxygen PEMFC decrease dramatically with the appropriately increased operating temperature. Whereas at over-elevated operating temperature, the resistance value increases due to the dehydration of the membrane electrode assembly. Load changing performance can be improved by increasing operating pressure and relative humidity. Increased stoichiometry is beneficial for the hydrogen-air PEMFC, while the opposite trend is observed for the hydrogen-oxygen PEMFC.