The magnetic anisotropy of Co ultra-thin films on Pd(111) is studied in the framework of a d-electron tight-bindings Hamiltonian which includes hopping, exchange, and spin-orbit interactions on the same electronic level. We perform self-consistent calculations from which the magnetic anisotropy energy (MAE) is obtained in a non-perturvative fashionas difference between electronic energies. The magneto-anisotropic behavior is determined for several ultra-thin film systems: Pd n /Co m /Pd, where n and m refer to the number of Pd and Co layers, respectively. In agreement with experiment we found for n = 0 a strong perpendicular anisotropy for m = 1, 2, 3 whereas for m = 4 an in-plane direction of the magnetization is obtained. Pd 1 /Co 4 /Pd only shows perpendicular anisotropy when relaxation effects are taken into account The spin and orbital magnetic moments of Co m and those induced at the Pd atoms at the interface are analized as a function of film thickness.