With the environmental harm of unburnt CH4 in natural gas vehicle exhaust, oxidizing CH4 to CO2 over catalysts at low temperatures becomes an exigent issue. Supported Pd catalysts possess higher CH4 activity than other noble metal catalysts. A series of Pd/ZrO2 catalysts were synthesized to research the potential relationship among Pd particle morphology, electron transfer, CH4 oxidation mechanism, and catalytic activity. Characterizations show that the ratio of PdO x facets to edge/corner sites on four catalysts increases in the order of PZ85 ≈ PZ40 < PZ55 < PZ70 because of the difference in content of surface −OH groups, and this order turns out to be the same as that of electron transfer intensity, revealing the degree of metal–support interactions. This kind of metal–support interaction in PZ70 can be helpful to accelerate CH4 combustion via promoting the break of the C–H bond and dissociation of CO3* according to density functional theory studies. T 90 of the PZ70 catalyst with optimum catalytic activity reaches 331 °C.