The proton exchange membrane fuel cell (PEMFC) is a critical and essential component of zero-emission electro-hydrogen generators. An accurate prediction of its performance is important for optimal operation management and preventive maintenance of these generators. However, the prediction is not simple because the PEMFCs have complex electrochemical reactions with multiple nonlinear relations between operating variables as inputs and voltage as output. In this paper, we propose an efficient prediction approach based on XGBRegressor and Tree-structured Parzen Estimator. In addition, to better select relevant features, Kernel Principal Component Analysis and Mutual Information are jointly used. The proposed approach allows consideration of the dynamic operating conditions of the PEMFC. To test and validate the robustness of the proposed approach, a real data-set of ten PEMFCs was considered. Furthermore, a comparison study with traditional machine learning models, such as artificial neural networks and support vector machine regression, was investigated. The obtained results confirm that our model outperforms the considered traditionel machine learning models.