The properties of a catalyst support are closely related to the catalyst activity, yet the focus is often placed on the active species, with little attention given to the support properties. In this work, we specifically investigated the changes in support properties after the addition of P, as well as their impact on catalyst activity when used for catalyst preparation. We prepared the CeO2-ZrO2-P2O5-Al2O3 (CeZrPAl) composite oxides using the sol–gel, impregnation, and mechanical mixing methods, and characterized the support properties using techniques such as XRD, XPS, SEM-EDS, N2 adsorption–desorption, and Raman spectra. The results showed that the support prepared using the sol–gel method can exhibit a more stable phase structure, larger surface area, higher adsorption capacity for oxygen species, and greater oxygen storage capacity. The addition of an appropriate amount of P is necessary. On the one hand, the crystallization and growth of CePO4 can lead to a decrease in the Ce content in the cubic phase ceria–zirconia solid solution, resulting in a phase separation of the ceria–zirconia solid solution. On the other hand, CePO4 can lock some of the Ce3+/Ce4+ redox pairs, leading to a reduction in the adsorption of oxygen species and a decrease in the oxygen storage capacity of the CeZrPAl composite oxides. The research results indicated that the optimal P addition is 6 wt.% in the support. Therefore, we prepared a Pd/CeZrPAl catalyst using CeZrAl with 6 wt.% P2O5 as the support and conducted the catalytic oxidation of C3H8. Compared with the support without P added, the catalyst activity of the support loaded with P was significantly improved. The fresh and aged (1000 °C/5 h) catalysts decreased by 20 °C and 5 °C in T50 (C3H8 conversion temperature of 50%), and by 81 °C and 15 °C in T90 (C3H8 conversion temperature of 90%), respectively.