The support effect on the low temperature catalytic oxidation of methane over palladium catalysts was studied by comparing a series of metal oxides as the support. Samples of 0.010 g/g Pd catalysts supported on different grades and/or phases of TiO2, Al2O3, and ZrO2 were prepared via incipient impregnation and their catalytic activity was evaluated using a laboratory plug‐flow reactor. The specific surface area of the supports determined by nitrogen adsorption varied from about 13‐220 m2/g. Initial experiments conducted with titania (anatase) as a support showed a low apparent activity and a poor thermal stability. Focusing on anatase, we have successfully improved its thermal stability by additions of Al2O3 or by doping with CeO2, or La2O3. However, contrary to expectations based on some information in the literature, we have found that the activity decreased in the sequence of Al2O3 > ZrO2 > TiO2, and was not a direct function of specific surface area. This was especially evident in the case of titania. The surface structure of the support and the nature of its interaction with the active component PdO seem to play a far more important role in activity than the apparent specific surface area. Moreover, anatase‐supported catalysts present a very rapid deactivation, whereas rutile‐supported catalysts are relatively stable. The observed phenomena could potentially be related to the interaction between support and the active phase of palladium. Several models have been proposed to describe the strong metal‐support interaction, but either charge transfer or encapsulation seems to be the most probable.