Based on the research and analysis of the proton exchange membrane fuel cell (PEMFC) working principle, the mathematical description of PEMFC was given and its dynamic simulation model was established in Matlab/Simulink. Maintaining a fuel cell system in correct operating conditions requires good system control. The continuous model predictive controller (CMPC) was designed using laguerre functions; besides, a simple modification strategy was proposed by using index weighting function. Two control strategies and the traditional DMPC were applied to control the output power of the PEMFC system. The results show the effectiveness and superiority of the CMPC algorithm.