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The activity and thermal stability of Pd/Al2O3 and Pd/(Al2O3+MOx) (M=Ca, La, Ce) palladium catalysts in the reaction of complete oxidation of methane are presented in this study. The catalyst supports were prepared by sol-gel method and they were dried either conventionally or with supercritical carbon dioxide. Then they were impregnated with palladium nitrate solution. The catalysts with unmodified alumina had a high surface area. The activity and thermal stability of the alumina-supported catalyst was also very high. The introduction of calcium, lanthanum, or cerium oxide into alumina support caused a decrease of the surface area in the way dependent on the support precursor drying method. These modifiers decreased the activity of palladium catalysts, and they required higher temperatures for the complete oxidation of methane than unmodified Pd/Al2O3. The improvement of the palladium activity by lanthanum and cerium support modifier was observed only at low temperatures of the reaction.