A water-in-oil microemulsion approach was established to synthesize Pd@SnO2 and SnO2@Pd core@shell nanocomposites in order to investigate the influence of the noble metal additive location on the sensing performance towards CO and H2 in dry and humid conditions at different temperatures. It turned out that the Pd additive, being either present on the outside of the shells or encapsulated by the SnO2 matrix, strongly influences the sensing performance. Especially, the inner shell Pd doped hollow spheres (Pd@SnO2) have shown very high signals towards CO in humid conditions at rather low sensing operation temperatures together with an almost linear response curve.