CO oxidative coupling to dimethyl oxalate (DMO) is an important approach for the product of ethylene glycol and CO elimination. In this work, the Co doped Pd/Al2O3 nanocatalyst was highly effective for CO oxidative coupling and enhanced remarkably CO conversion and the formation of DMO. The maximum DMO STY reached 1082 g L−1 h−1 over the Pd/Al2O3@1/20Co catalyst at 130 °C for 2 h under the space velocity of 3000 h−1, which is two times higher than that over the Pd/Al2O3 catalyst. The Co modification and its influence on the structure of the Pd/Al2O3 catalyst were also studied systematically by XRD, TEM, CO‐TPD, N2 physical adsorption and XPS techniques. An appropriate Co doing was confirmed to promote distinctly the generation of smaller Pd particles and the adjustment of the adsorption or activation of CO over the catalyst. A positive interaction between Pd nanoparticles and the modulated support with Co doping was demonstrated and favored the enhanced activity of the catalyst for the reaction.