To improve the precision and sensitivity of the detection in near infrared gas detection system, the selection of light source and design of gas chamber structure are two key links. In this paper, the near infrared (NIR) light sources fabricated with PbSe quantum dots (QDs) and a new gas cell structure using an ellipsoid reflector were designed to test the concentration of methane (CH4). The double wavelengths differential detection method was used in the paper. The signal wavelength is 1.665 μm from the NIR QD-based light source with 5.1 nm PbSe QDs. The reference wavelength is 1.943 μm from the NIR QD-based light source with 6.1 nm PbSe QDs. The experimental results show that the differential gain signal could be enhanced 80 times when the major axis, the focus, and the open length of the ellipsoid reflector are 4.18 cm, 3.98 cm, and 0.36 cm, respectively. The structure will be convenient for the signal amplifying, AD converting, and other process in the latter circuits, and therefore both the detection sensitivity and precision can be improved.