14%REOx2.5%La2O333.5%ZrO250%Al2O3 (RE = Ce, Y, Pr) composites were prepared by a co-precipitation method. The Pd catalysts were obtained by an aqueous solution of Pd(NO3)2 loaded on the rare earths modified composites with an initial wet impregnated method. The experiment results show that catalytic activity of the rare earths modified Pd/La2O3ZrO2Al2O3 catalysts is better than bare sample for methane oxidation. The structural characterization results reveal that the rare earths modified Pd catalysts increase amounts of surface active oxygen species by X-ray photoelectron spectroscopy (XPS) analysis and improve the dispersion of active component from H2-temperature programmed reduction (H2-TPR) measurement compared with bare sample. Especially, Pd/14%Y2O32.5%La2O333.5%ZrO250%Al2O3 sample exhibits highly active stability, it is related to the Pd particles highly dispersion, which was observed by transmission electron microscope (TEM) images.