The application of methane as a fuel in the automotive industry shows an increasing tendency, but its release into the atmosphere is detrimental due to its very high greenhouse effect. For this reason, new solutions for cleaning systems of exhaust gas from methane engines are in demand. This study focuses on thorough characterisation of active centres, structure–activity relationships, and reaction steps on palladium ceria supported catalysts of different loading, using the in situ FTIR method with different surface probe molecules. The results show substantial activity of low loading Pd/CeO₂ catalyst, correlated with its high dispersion. Three types of active centres were found on the catalyst surface: acidic and redox on both the ceria and palladium oxide surfaces, and basic ones on the palladium oxide. The reaction on the Pd/CeO₂ catalyst was shown to proceed via the formation of monodentates, which were a stable reaction intermediate in the temperature range between 150 and 250 °C. The assignment of the intermediates was supported by the in situ FTIR sorption experiments with CO, CH₄ used as probe molecules.