The cross-link reaction between macromolecular chains of sulfonated poly(ether ether ketone) (SPEEK) by thermal treatment above 150 °C in presence of dimethylsulfoxide (DMSO) is investigated by various techniques, including elemental analysis, acid-base titration, infrared spectroscopy, water uptake (WU) measurements, and thermogravimetry. The conditions of thermal treatment are analyzed. The cross-linking reaction occurs in at least three more or less activated and deactivated positions with different activation energies, leading to different time dependencies of the cross-link reaction. The role of residual solvent DMSO is studied particularly: the cross-linking depends significantly on the amount of solvent in the membranes. Implications on WU and thermal stability are of particular importance for the development of high performance proton-conducting membranes.