In the last years, hydrogen has been considered as a promising energy vector for the oncoming modification of the current energy sector, mainly based on fossil fuels. Hydrogen can be produced from water with no significant pollutant emissions but in the nearest future its production from different hydrocarbon raw materials by thermochemical processes seems to be more feasible. In any case, a mixture of gaseous compounds containing hydrogen is produced, so a further purification step is needed to purify the hydrogen up to required levels accordingly to the final application, i.e., PEM fuel cells. In this mean, membrane technology is one of the available separation options, providing an efficient solution at reasonable cost. Particularly, dense palladium-based membranes have been proposed as an ideal chance in hydrogen purification due to the nearly complete hydrogen selectivity (ideally 100%), high thermal stability and mechanical resistance. Moreover, these membranes can be used in a membrane reactor, offering the possibility to combine both the chemical reaction for hydrogen production and the purification step in a unique device. There are many papers in the literature regarding the preparation of Pd-based membranes, trying to improve the properties of these materials in terms of permeability, thermal and mechanical resistance, poisoning and cost-efficiency. In this review, the most relevant advances in the preparation of supported Pd-based membranes for hydrogen production in recent years are presented. The work is mainly focused in the incorporation of the hydrogen selective layer (palladium or palladium-based alloy) by the electroless plating, since it is one of the most promising alternatives for a real industrial application of these membranes. The information is organized in different sections including: (i) a general introduction; (ii) raw commercial and modified membrane supports; (iii) metal deposition insights by electroless-plating; (iv) trends in preparation of Pd-based alloys, and, finally; (v) some essential concluding remarks in addition to futures perspectives.