In this study, three kinds of CeO2 were synthesized, and supported PdOx (x = 0,1) catalysts were prepared for benzene catalytic combustion. The samples were characterized by XRD, N2 adsorption/desorption, HRTEM, XPS and H2-TPR. The results show that three kinds of CeO2 with different structures can be formed by different preparation methods. This is mainly reflected in the differences in pore structure, particle size and crystal plane. CeO2-DC obtained from directly calcined Ce(NO3)3·6H2O had the largest pore volume and pore diameter and smallest particle size. CeO2-DC was mainly exposed to the (200) plane. Combined with the results of the ability test, it could be concluded that when Pd2+ and Pd0 exist at the same time, the activity increases with an increase in the proportion of Pd2+. Meanwhile, the structure of CeO2 affects the formation of oxygen vacancies, thereby affecting the adsorption and degradation of benzene. This article reveals that the particle size, crystal planes, oxygen vacancies and proportion of Pd2+ have a great impact on the catalytic combustion of benzene and allow a more comprehensive understanding of the structure–activity relationship, which can guide us to design high-efficiency catalysts targeted to obtain suitable CeO2-based catalysts for the catalytic combustion of benzene.