Methane (CH4), as the vital energy resource and industrial chemicals, is highly flammable and explosive for concentrations above the explosive limit, triggering potential risks to personal and production safety. Therefore, exploiting smart gas sensors for real‐time monitoring of CH4 becomes extremely important. Herein, the Pt‐Pd nanoalloy functionalized mesoporous SnO2 microspheres (Pt‐Pd/SnO2) were synthesized, which show uniform diameter (≈500 nm), high surface area (40.9–56.5 m2 g−1), and large mesopore size (8.8–15.8 nm). The highly dispersed Pt‐Pd nanoalloys are confined in the mesopores of SnO2, causing the generation ofoxygen defects and increasing the carrier concentration of sensitive materials. The representative Pt1‐Pd4/SnO2 exhibits superior CH4 sensing performance with ultrahigh response (Ra/Rg = 21.33 to 3000 ppm), fast response/recovery speed (4/9 s), as well as outstanding stability. Spectroscopic analyses imply that such an excellent CH4 sensing process involves the fast conversion of CH4 into formic acid and CO intermediates, and finally into CO2. Density functional theory (DFT) calculations reveal that the attractive covalent bonding interaction and rapid electron transfer between the Pt‐Pd nanoalloys and SnO2 support, dramatically promote the orbital hybridization of Pd4 sites and adsorbed CH4 molecules, enhancing the catalytic activation of CH4 over the sensing layer.