In this work, we employed flame spray pyrolysis (FSP), a high‐temperature synthesis method, to control the formation of Pd structures on the CeO2 support. Multiple types of Pd structures deposited on CeO2 are observed on FSP‐made samples. Our results show that the oxidizing environment during FSP synthesis facilitates the formation of incorporated Pd2+ structures, along with highly dispersed Pd2+, Pd0 nanoparticles, and Pd0 clusters formed under the reducing synthesis condition. Notably, these Pd2+ species remained stable at temperatures up to 400 °C. The catalysts containing both highly dispersed Pd2+ nanoparticles and incorporated Pd2+ species demonstrated superior methane oxidation activity, with higher turnover frequencies than those containing only one type of Pd2+ structure. However, hydrothermal pretreatment in the presence of water vapor led to partial deactivation, likely due to structural alterations in the Pd species or the interaction with the CeO2 support, which reduced the stability and effectiveness of the active sites. This study underscores the importance of both highly dispersed and incorporated Pd2+ species in enhancing catalytic performance and highlights the challenges posed by water‐induced deactivation in practical applications.